Quarterly time series data from Canada and the Canadian provinces for the period 1976:1-2005:3 are examined to determine if the unemployment rates in the Canadian provinces are converging to the national rate of unemployment. Firstly, we check for existence of stochastic convergence using recent...

In this study, we investigate the long term dependence or long memory present in the volatility of the stock market returns of Peru, Brazil, Mexico, Chile, Argentina, and the S&P500. We start analyzing the form of the autocorrelation function (ACF) and the estimated spectral density. Moreover,...

Though the econometrics literature on this area is extensive, in Peru few studies have been dedicated to the analysis of Önancial returns in general and volatility in particular. As part of an empirical research agenda suggested by Humala and RodrÌguez (2013), this paper represents one of the...

Using daily observations of the index and stock market returns for the Peruvian case from January 3, 1990 to May 31, 2013, this paper models the distribution of daily loss probability, estimates maximum quantiles and tail probabilities of this distribution, and models the extremes through a...

La economía peruana ha venido creciendo sostenidamente en los últimos 15 años. Verificar si los departamentos (o regiones) han logrado un proceso de convergencia ya sea hacia un solo estado estacionario o a su propio estado estacionario sería equivalente a verificar un proceso de inclusión...