Browsing Departamentos by Subject "Modelo de volatilidad estocástica"

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Stochastic Volatility in Peruvian Stock Market and Exchange Rate Returns: a Bayesian Approximation

Alanya, Willy; Rodríguez, Gabriel (Pontificia Universidad Católica del Perú. Departamento de Economía, 2014)

This study is one of the first to utilize the SV model to model Peruvian financial series, as well as estimating and comparing with GARCH models with normal and t-student errors. The analysis in this study corresponds to ...