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Stochastic Volatility in Peruvian Stock Market and Exchange Rate Returns: a Bayesian Approximation
(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 ...
An Application of a Short Memory Model With Random Level Shifts to the Volatility of Latin American Stock Market Returns
(Pontificia Universidad Católica del Perú. Departamento de Economía, 2014)
Empirical research indicates that the volatility of stock return time series have long memory. However, it has been demonstrated that short memory processes contaminated with random level shifts can often be confused as ...
Convergencia en las Regiones del Perú: ¿Inclusión o Exclusión en el Crecimiento de la Economía Peruana (1970-2010)?
(Pontificia Universidad Católica del Perú. Departamento de Economía, 2014)
The Peruvian economy has been growing steadily over the past 15 years. Check if the departments have achieved a convergence process either to a single steady state or its own steady state would be an indicator to verify a ...
Distinguishing between True and Spurious Long Memory in the Volatility of Stock Market Returns in Latin America
(Pontificia Universidad Católica del Perú. Departamento de Economía, 2014)
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 ...
Driving Economic Fluctuations in Peru: The Role of the Terms of Trade
(Pontificia Universidad Católica del Perú. Departamento de Economía, 2014)
This paper has four objectives. Firstly, to verify the existence of long-term relationships between the groups of variables analyzed (product, consumption, private investment, public investment, and terms of trade). Secondly, ...
Extreme Value Theory: An Application to the Peruvian Stock Market Returns
(Pontificia Universidad Católica del Perú. Departamento de Economía, 2014)
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 ...
Volatility of Stock Market and Exchange Rate Returns in Peru: Long Memory or Short Memory with Level Shifts?
(Pontificia Universidad Católica del Perú. Departamento de Economía, 2014)
Though the econometrics literature on this area is extensive, in Peru few studies have been dedicated to the analysis of financial returns in general and volatility in particular. As part of an empirical research agenda ...
Descomposición Histórica de la Inflación en Perú. Distinguiendo entre choques de demanda y choques de oferta
(Pontificia Universidad Católica del Perú. Departamento de Economía, 2010)
This paper analyzes and distinguishes the role and importance of the shocks related to the aggregate demand and aggregate supply on the behavior of the Peruvian inflation during the period 1997:1-2009:2. We use the methodology ...
Do labor reforms in Spain have an effecto on the equilibrium unemployment rate?
(Pontificia Universidad Católica del Perú. Departamento de Economía, 2013)
In this paper, we analyze the impact of several labor reforms in Spain on its equilibrium unemployment rate. To this end, we analyzed the behavior of the observed unemployment rate in Spain during the 1976-2012 period, ...
An Application of a Random Level Shifts Model to the Volatility of Peruvian Stock and Exchange Rates Returns
(Pontificia Universidad Católica del Perú. Departamento de Economía, 2014)
The literature has shown that the volatility of Stock and Forex rate market returns shows the characteristic of long memory. Another fact that is shown in the literature is that this feature may be spurious and volatility ...