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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. ...