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URI permanente para esta comunidadhttp://54.81.141.168/handle/123456789/124122

En esta comunidad encontramos libros, fotografías, cuadernos de trabajo, y otros documentos generados en los distintas Departamentos Académicos de la universidad. Entre otros podemos encontrar la colección de revistas históricas deportivas del Perú (Ciencias Sociales), el Archivo Digital de Lenguas Peruanas (humanidades) las Guías del Grupo de Investigación en Adquisición del Lenguaje (GRIAL), libros de la Red Internacional de Estudios Interculturales (RIDEI); la colección Voces Peruanas del Vaticano II (Teología) y diversos libros, entrevistas y conferencias de interes en otro departamentos

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Autorsearch.filters.applied.operator.equals: search.filters.author.Alvaro, Dennis

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    Modelling the volatility of commodities prices using a stochastic volatility model with random level shifts
    (Pontificia Universidad Católica del Perú. Departamento de Economía, 2016-03) Alvaro, Dennis; Guillén, Ángel; Rodríguez, Gabriel
    We use the approach of Qu and Perron (2013) for the modeling and inference of volatility of a set of commodity prices in the presence of level shifts of unknown timing, magnitude and frequency. The model has two features: (i) it is a stochastic volatility model comprising both a level shift and a short-memory process where the .rst component is modeled as a compounded binomial process while the second one is an AR(1) process; (ii) the model is estimated using Bayesian techniques in order to obtain posterior distributions of the parameters and the two latent components. We use six commodity series: agriculture, livestock, gold, oil, industrial metals and a general commodity index. All series cover the period from January 1983 until December 2013 in daily frequency. The results show that although the occurrence of a level shift is rare (about once every 1.5 or 1.8 years), this component clearly contributes most to the variation in the volatility. The half-life of a typical shock from the AR(1) component is short, on average 13 days. Furthermore, isolating the level shift component from the overall volatility indicates a stronger relationship between volatility and Peruvian business cycle movements.