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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 ...
Impacto de expectativas políticas en los retornos del índice general de la Bolsa de Valores de Lima
(Pontificia Universidad Católica del Perú. Departamento de Economía, 2011)
El presente documento analiza el impacto de las expectativas políticas sobre los retornos del índice general de la Bolsa de Valores de Lima (IGBVL) utilizando información para los periodos electorales de 1995 y 2000. La ...
Convergence in the canadian provinces: evidence using unemployment rates
(Pontificia Universidad Católica del Perú. Departamento de Economía, 2011)
Este documento analiza y usa dos versiones del Teorema del Límite Central Funcional y su aplicación al contexto de raices unitarias con un quiebre estructural. La atención inicial se enfoca en la estructura probabilística ...
Does the exchange rate pass-through into prices change when inflation targeting is adopted?: the Peruvian case study between 1994 and 2007
(Pontificia Universidad Católica del Perú. Departamento de Economía, 2011)
This paper analyzes whether the exchange rate pass-through into prices changed when the inflation targeting scheme was adopted in Peru. Firstly, a small dynamic stochastic general equilibrium model is simulated, which shows ...
Explaining the Transition Probabilities in the Peruvian Labor Market
(Pontificia Universidad Católica del Perú. Departamento de Economía, 2012)
This study has two aims. First, to establish the main features of labor mobility; and second, to analyze the determinants of the main transitions between states of occupation. In order to achieve the first objective, we ...
Inflation expectations formation in the presence of policy shifts and structural breaks: an experimental analysis
(Pontificia Universidad Católica del Perú. Departamento de Economía, 2012)
In this paper we study how inflation expectations are formed and whether these change due to the occurrence of policy shifts or structural breaks. We conduct 4 experiments with 75 inexperienced subjects, in which we ask ...
A Comparative Note about Estimation of the Fractional Parameter under Additive Outliers
(Pontificia Universidad Católica del Perú. Departamento de Economía, 2014)
In a recent paper, Fajardo et al. (2009) propose an alternative semiparametric estimator of the fractional parameter in ARFIMA models which is robust to the presence of additive outliers. The results are very interesting; ...
Residual Based Test for Cointegration with GLS Detrented Data
(Pontificia Universidad Católica del Perú. Departamento de Economía, 2012)
We analyze di¤erent residual-based tests for the null of no cointegration using GLS detrended data. We find and simulate the limiting distributions of these statistics when GLS demeaned and GLS detrended data are used. The ...
Modelos univariados de hetero-esquedasticidad condicional autoregresiva Aplicación a los retornos del mercado de valores en el Perú.
(Pontificia Universidad Católica del Perú. Departamento de Economía, 2015)
Una amplia familia de modelos univariados de heterocedasticidad condicional autorregresiva se aplica a los retornos diarios del mercado de valores de Perú para el período Enero 3, 1992 a Marzo 30, 2012 (5053 observaciones) ...
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 ...