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An empirical applicatin of a random level shift model with time-varying probability and mean reversion to the volatility of Latin-America forex market returns
(Pontificia Universidad Católica del Perú, 2017-04-26)
Following Xu and Perron (2014), this paper uses daily data for six Forex Latin American markets (Argentina, Brazil, Chile, Colombia, Mexico and Peru). Four models of the family of the Random Level Shift (RLS) model are ...
Modeling the volatility of returns on commodities: an application and empirical comparison of GARCH and SV models
(Pontificia Universidad Católica del Perú, 2021-03-10)
Seven GARCH and stochastic volatility (SV) models are compared to model empirically
the volatility of returns on four commodities relevant for South America economies: gold,
copper, oil, and natural gas. Our results show ...
An application of a random level shifts model to the volatility of peruvian stock and exchange rate reterns
(Pontificia Universidad Católica del Perú, 2017-04-11)
La literatura econométrica y nanciera ha mostrado que la volatilidad de los retornos bursátiles y cambiarios presenta un comportamiento de larga memoria. Otro hecho
mostrado en la literatura es que este comportamiento ...