Browsing Departamentos by Author "Rodríguez Marzo, Gabriel"
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Modeling Latin-American Stock and Forex Markets Volatility: Empirical Application of a Model with Random Level Shifts and Genuine Long Memory
Rodríguez Marzo, Gabriel (Pontificia Universidad Católica del Perú. Departamento de EconomíaPE, 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 ...