• Login
    Search 
    •   DSpace Home
    • Departamentos
    • Search
    •   DSpace Home
    • Departamentos
    • Search
    JavaScript is disabled for your browser. Some features of this site may not work without it.

    Search

    Show Advanced FiltersHide Advanced Filters

    Filters

    Use filters to refine the search results.

    Now showing items 1-10 of 26

    • Sort Options:
    • Relevance
    • Title Asc
    • Title Desc
    • Issue Date Asc
    • Issue Date Desc
    • Results Per Page:
    • 5
    • 10
    • 20
    • 40
    • 60
    • 80
    • 100
    Thumbnail

    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 ...
    Thumbnail

    An Application of a Short Memory Model With Random Level Shifts to the Volatility of Latin American Stock Market Returns 

    Rodríguez, Gabriel; Tramontana, Roxana (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 ...
    Thumbnail

    Convergencia en las Regiones del Perú: ¿Inclusión o Exclusión en el Crecimiento de la Economía Peruana (1970-2010)? 

    Delgado, Augusto; Rodríguez, Gabriel (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 ...
    Thumbnail

    Distinguishing between True and Spurious Long Memory in the Volatility of Stock Market Returns in Latin America 

    Pardo Figueroa, Renzo; Rodríguez, Gabriel (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 ...
    Thumbnail

    Driving Economic Fluctuations in Peru: The Role of the Terms of Trade 

    Rodríguez, Gabriel; Villanueva, Pierina (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, ...
    Thumbnail

    Extreme Value Theory: An Application to the Peruvian Stock Market Returns 

    Calderon Vela, Alfredo; Rodríguez, Gabriel (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 ...
    Thumbnail

    Volatility of Stock Market and Exchange Rate Returns in Peru: Long Memory or Short Memory with Level Shifts? 

    Herrera, Andrés; Rodríguez, Gabriel (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 ...
    Thumbnail

    Descomposición Histórica de la Inflación en Perú. Distinguiendo entre choques de demanda y choques de oferta 

    Lavanda Ascama, Guillermo Arturo; Rodríguez, Gabriel (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 ...
    Thumbnail

    Do labor reforms in Spain have an effecto on the equilibrium unemployment rate? 

    Ramírez, Dionisio; Rodríguez, Gabriel (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, ...
    Thumbnail

    An Application of a Random Level Shifts Model to the Volatility of Peruvian Stock and Exchange Rates Returns 

    Ojeda, Junior; Rodríguez, Gabriel (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 ...
    • 1
    • 2
    • 3

    DSpace software copyright © 2002-2016  DuraSpace
    Contact Us | Send Feedback
    Theme by 
    Atmire NV
     

     

    PoliticasVer Políticas

    Browse

    All of DSpaceCommunities & CollectionsBy Issue DateAuthorsTitlesSubjectsThis CommunityBy Issue DateAuthorsTitlesSubjects

    My Account

    LoginRegister

    Discover

    Author
    Rodríguez, Gabriel (26)
    Ramírez, Dionisio (3)Delgado, Augusto (2)Maertens Odría, Luis R. (2)Alanya, Willy (1)... View MoreSubjectVolatilidad (4)Cambios de nivel aleatorios (3)Errores ARFIMA (3)Mercado bursátil (3)Outliers aditivos (3)... View MoreDate Issued2014 (10)2011 (4)2013 (4)2012 (3)2015 (3)2010 (1)2017 (1)Document TypeArtículo preliminar (26)Has File(s)Yes (26)

    DSpace software copyright © 2002-2016  DuraSpace
    Contact Us | Send Feedback
    Theme by 
    Atmire NV