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An Empirical Application of a Random Level Shifts Model with Time-Varying Probability and Mean Reversion to the Volatility of Latin-American Forex Markets Returns
(Pontificia Universidad Católica del Perú. Departamento de Economía, 2016-03)
Following Xu and Perron (2014), this paper uses daily data for six Forex Latin American markets. Four models of the family of the Random Level Shift (RLS) model are estimated: a basic model where probabilities of level ...