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Modeling Latin-American stock markets volatility : varying probabilities and mean reversion in a random level shifts model

Rodriguez, Gabriel - 2015

Persistent link: https://www.econbiz.de/10011415396

A stochastic volatility model with GH skew student's t-distribution : application to Latin-American stock returns

Lengua Lafosse, Patricia; Bayes, Cristian; Rodriguez, … - 2015

Persistent link: https://www.econbiz.de/10011415404

Modelling the volatility of commodities prices using a stochastic volatility model with random level shifts

Alvaro, Dennis; Guillén, Ángel; Rodriguez, Gabriel - In: Review of world economics 153 (2017) 1, pp. 71-103

Persistent link: https://www.econbiz.de/10011889303

Modeling Latin-American stock and Forex markets volatility : empirical application of a model with random level shifts and genuine long memory

Rodriguez, Gabriel - In: The North American journal of economics and finance : a … 42 (2017), pp. 393-420

Persistent link: https://www.econbiz.de/10011938140

Asymmetries in Volatility : an empirical study for the Peruvian stock and Forex markets

Alanya, Willy; Rodriguez, Gabriel - In: Review of Pacific Basin financial markets and policies 22 (2019) 1, pp. 1950003-1-1950003-18

Persistent link: https://www.econbiz.de/10012156142

The New Keynesian framework for a small open economy with structural breaks : empirical evidence from Peru

Bazán-Palomino, Walter; Rodriguez, Gabriel - In: Structural change and economic dynamics : SC+ED 46 (2018), pp. 13-25

Persistent link: https://www.econbiz.de/10012039859

Estimation of the sovereign yield curve of Peru : the role of macroeconomic and latent factors

Olivares Ríos, Alejandra; Rodriguez, Gabriel; Ataurima … - 2017

Persistent link: https://www.econbiz.de/10011738053

Empirical modeling of Latin American stock ans Forex markes returns and volatility using Markov-Switching Garch models

Ataurima Arellano, Miguel; Collantes, Erika; Rodriguez, … - 2017

Persistent link: https://www.econbiz.de/10011738077

Macroeconomic effects of loan supply shocks : empirical evidence for Peru

Martínez, Jefferson; Rodriguez, Gabriel - In: Latin American economic review : LAER ; official … 30 (2021), pp. 1-24

This paper quantifies and assesses the impact of an adverse loan supply (LS) shock on Peru's main macroeconomic aggregates using a Bayesian vector autoregressive (BVAR) model in combination with an identification scheme with sign restrictions. The main results indicate that an adverse LS shock:...

Persistent link: https://www.econbiz.de/10012594182

Stochastic volatility in mean : empirical evidence from stock Latin American markets

Abanto-Valle, Carlos A.; Rodriguez, Gabriel; … - 2020

Persistent link: https://www.econbiz.de/10012435606