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Estimation of the Sovereign Yield Curve of Peru: The Role of Macroeconomic and Latent Factors
(Pontificia Universidad Católica del Perú. Departamento de Economía, 2017-03)
The study of the yield curve has been a topic that interested economists for a long time since the term structure of interest rates is an important transmission channel of monetary policy to inflation and real activity. ...
Benchmarking Malaysia in the Global Information Society: Regressing or Progressing?
(Pontificia Universidad Católica del Perú. CENTRUM, 2010)
The purpose of this paper is to elucidate how the Dalenius-Hodges stratification methodology typically used in sampling, when combined with ranking and index standardization procedures, becomes a powerful policy tool for ...
Macroeconomic Effects of Loan Supply Shocks: Empirical Evidence for Peru
(Pontificia Universidad Católica del Perú. Departamento de Economía, 2020-02)
This paper quantifies and assesses the impact of an adverse loan supply (LS) shock on Peruís main
macroeconomic aggregates using a Bayesian vector autoregressive (BVAR) model in combination
with an identification scheme ...
Approximate bayesian estimation of stochastic volatility in mean models using hidden Markov models: empirical evidence from stock Latin American markets
(Pontificia Universidad Católica del Perú. Departamento de Economía, 2021-10)
The stochastic volatility in mean (SVM) model proposed by Koopman and Uspensky (2002) is revisited. This paper has two goals. The first is to offer a methodology that requires less computational time in simulations and ...
An Application of GARCH Models in Detecting Systematic Bias in Options Pricing and Determining Arbitrage in Options
(Pontificia Universidad Católica del Perú. CENTRUM, 2012)
Derivatives have become widely accepted as tools for hedging and risk-management, as well as speculation to some extent. A more recent trend has been gaining ground, namely, arbitrage in derivatives.
Alternative approach for reproducing the in-plane behaviour of rubble stone walls
(2017)
Stone masonry is one of the oldest construction types due to the natural and free availability of stones and the relatively easy construction. Since stone masonry is brittle, it is also very vulnerable and in the case of ...
Teaching Modern Macroeconomics in the Mundell-Fleming Language: The IS-MPR-UIP-AD-AS Model
(Pontificia Universidad Católica del Perú. Departamento de Economía, 2017-09)
The traditional open aggregate demand and aggregate supply model backed by the Mundell-Fleming model, together with the supply curve that relates the price level to the output gap, should be abandoned in undergraduate ...
Empresa Digital
(Pontificia Universidad Católica del Perú. Facultad de Ciencias e Ingeniería., 2017)
Primer estudio de adopción BIM en proyectos de edificación en Lima y Callao 2017
(Pontificia Universidad Católica del Perú. Departamento de Ingeniería, 2017)
Este es el Primer Estudio de Adopción BIM en Perú, cuyo enfoque ha sido la adopción en proyectos de edificación de Lima y Callao. La industria de la construcción mundial presenta un problema estructural fundamental: la ...
Option Pricing Models with HF Data: An Application of the Black Model to the WIG20 Index
(Pontificia Universidad Católica del Perú. CENTRUM, 2012)
In this paper, we compared several Black option pricing models by applying different measures of volatility and examined the Black model with historical (BHV), implied (BIV), and several different types of realized (BRV) ...