Browsing Documentos de Trabajo by Author "Abanto-Valle, Carlos"

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    • Stochastic Volatility in Mean. Empirical Evidence from Stock Latin American Markets 

      Abanto-Valle, Carlos; Rodríguez, Gabriel; Garrafa-Aragón, Hernán (Pontificia Universidad Católica del Perú. Departamento de EconomíaPE, 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. ...