Browsing Documentos de Trabajo by Author "Abanto-Valle, Carlos A."
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Approximate bayesian estimation of stochastic volatility in mean models using hidden Markov models: empirical evidence from stock Latin American markets
Abanto-Valle, Carlos A.; Rodríguez, Gabriel; Garrafa-Aragón, Hernán; Castro Cepero, Luis M. (Pontificia Universidad Católica del Perú. Departamento de EconomíaPE, 2021-10)The stochastic volatility in mean (SVM) model proposed by Koopman and Uspensky (2002) is revisited. This paper has two goals. The first is to offer a methodology that requires less computational time in simulations and ...