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Evolution of Monetary Policy in Peru: An Empirical Application using a Mixture Innovation TVP-VAR-SV Model
(Pontificia Universidad Católica del Perú. Departamento de Economía, 2020-02)
This paper discusses the evolution of monetary policy (MP) in Peru in 1996Q1-2016Q4 using a
mixture innovation time-varying parameter vector autoregressive model with stochastic volatility
(TVP-VAR-SV) as proposed by ...
La orientación TOE en la investigación de la transformación digital con modelos probabilísticos de tópicos
(Asociación Latino-Iberoamericana de Gestión Tecnológica y de la Innovación (ALTEC), 2021)
Los estudios en la transformación digital (TD) han sido de creciente interés ya que el mundo digital ha hecho que las organizaciones se enfoquen en la tecnología digital para responder a nuevos escenarios. Varias perspectivas ...
Modeling Latin-American Stock and Forex Markets Volatility: Empirical Application of a Model with Random Level Shifts and Genuine Long Memory
(Pontificia Universidad Católica del Perú. Departamento de Economía, 2016-03)
Following Varneskov and Perron (2014), I apply the RLS-ARFIMA(0,d,0) and the RLS-ARFIMA (1,d,1) models to the daily stock and Forex market returns volatility of Argentina, Brazil, Chile, Mexico and Peru. It is a parametric ...
Towards Informal Planning: Mapping the Evolution of Spontaneous Settlements in Time
(Editorial Universitat Politècnica de València, 2017)
Cities are the largest complex adaptive system in human culture and have always been changing in time according to largely unplanned patterns of development. Though urban morphology has typically addressed studies of form ...
La hermenéutica y el modelo curricular reconceptualista como alternativas para la construcción de una educación orientada bajo el Enfoque de Desarrollo Intercultural
(Pontificia Universidad Católica del Perú. Facultad de Letras y Ciencias Humanas. Especialidad de Filosofía, 2021)
Peru is configured as a country rich in cultures and languages, which are associated with
unique ways of seeing and understanding the world. For several decades, an educational model
based on the recognition of each and ...
Stochastic Volatility in Mean. Empirical Evidence from Stock Latin American Markets
(Pontificia Universidad Católica del Perú. Departamento de Economía, 2020-02)
Using a Stochastic Volatility in Mean (SVM) model, we perform an empirical study of live Latin
American indexes in order to see the impact of the volatility in the mean of the returns. We
use MCMC Hamiltonian dynamics. ...
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)
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: ...
Teaching Modern Macroeconomics in the Traditional Language: The IS-MR-AD-AS Model
(Pontificia Universidad Católica del Perú. Departamento de Economía, 2017-07)
During the last two decades we have witnessed the emergence in the field of intermediate macroeconomics of an extensive literature that seeks to dismiss the traditional IS-LM-AD-AS model and replace it with the New Keynesian ...
Empirical Modeling of Latin American Stock and Forex Markets Returns and Volatility using Markov-Switching GARCH Models
(Pontificia Universidad Católica del Perú. Departamento de Economía, 2017-03)
Using a sample of weekly frequency of the stock and Forex markets returns series, we estimate a set of Markov-Switching-Generalized Autoregressive Conditional Heterocedasticity (MS-GARCH) models to a set of Latin American ...
Monitoring Public Company Rankings for Investment Decisions: Are They Undervalued or Overvalued?
(Pontificia Universidad Católica del Perú. CENTRUM, 2013)
This study proposes a novel framework to monitor the rankings of public companies that are released periodically by worldwide business organizations. With different ranking rationales and diverse indicators, the released ...