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A Note on Forecasting Daily Peruvian Stock Market Volatility Risk Using Intraday Returns
(Pontificia Universidad Católica del Perú. Fondo Editorial, 2019-10-29)
In this paper I present a model to forecast the daily Value at Risk (VaR) of the Peruvian stock market (measured through the general index of the Lima Stock Exchange: the IGBVL) based on intraday (high-frequency) data. ...
How Investors Face Financial Risk: Loss Aversion and Wealth Allocation
(Pontificia Universidad Católica del Perú. CENTRUM, 2010)
We studied how the capital allocation decisions and the loss version of nonprofessional investors change subject to behavioral factors. The optimal wealth allocation between risky and risk-free assets results within a ...
Threshold Stochastic Volatility Models with Heavy Tails: A Bayesian Approach
(Pontificia Universidad Católica del Perú. Fondo Editorial, 2019-09-16)
This paper extends the threshold stochastic volatility (THSV) model specification proposed in So et al. (2002) and Chen et al. (2008) by incorporating thick-tails in the mean equation innovation using the scale mixture of ...