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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 ...
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.
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 ...
Modelamiento de la volatilidad de las bolsas de valores de América Latina: Probabilidades variables y reversión promedio en un modelo de cambios de nivel randomizado.
(Pontificia Universidad Católica del Perú. Departamento de Economía, 2015)
Siguiendo el trabajo de Xu y Perron (2014), en este documento se aplica el modelo extendido de cambios de nivel aleatorios (RLS) a los retornos diarios de los mercados bursátiles de Argentina, Brasil, Chile, Mexico y Perú. ...
Modeling the Volatility of Returns on Commodities: An Application and Empirical Comparison of GARCH and SV Models
(Pontificia Universidad Católica del Perú. Departamento de Economía, 2020-02)
Seven GARCH and stochastic volatility (SV) models are used to model and compare empirically
the volatility of returns on four commodities: gold, copper, oil, and natural gas. The results
show evidence of fat tails and ...
Stochastic Volatility in Peruvian Stock Market and Exchange Rate Returns: a Bayesian Approximation
(Pontificia Universidad Católica del Perú. Departamento de Economía, 2014)
Este estudio es uno de los primeros en utilizar el modelo SV para modelar series financieras peruanas, así como estimar y comparar con los modelos GARCH con errores normales y t-student. El análisis en este estudio ...