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 ...

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 ...

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 ...

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 ...

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, ...

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 ...

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 ...

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 ...

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, ...

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 ...