Browsing Documentos de Trabajo by Author "Alvaro, Dennis"
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Modelling the volatility of commodities prices using a stochastic volatility model with random level shifts
Alvaro, Dennis; Guillén, Ángel; Rodríguez, Gabriel (Pontificia Universidad Católica del Perú. Departamento de EconomíaPE, 2016-03)We use the approach of Qu and Perron (2013) for the modeling and inference of volatility of a set of commodity prices in the presence of level shifts of unknown timing, magnitude and frequency. The model has two features: ...