Browsing Documentos de Trabajo by Author "Ataurima Arellano, Miguel"
Now showing items 1-2 of 2
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Empirical Modeling of Latin American Stock and Forex Markets Returns and Volatility using Markov-Switching GARCH Models
Ataurima Arellano, Miguel; Collantes, Erika; Rodriguez , Gabriel (Pontificia Universidad Católica del Perú. Departamento de EconomíaPE, 2017-03)Using a sample of weekly frequency of the stock and Forex markets returns series, we estimate a set of Markov-Switching-Generalized Autoregressive Conditional Heterocedasticity (MS-GARCH) models to a set of Latin American ... -
Estimation of the Sovereign Yield Curve of Peru: The Role of Macroeconomic and Latent Factors
Olivares Ríos, Alejandra; Rodríguez, Gabriel; Ataurima Arellano, Miguel (Pontificia Universidad Católica del Perú. Departamento de EconomíaPE, 2017-03)The study of the yield curve has been a topic that interested economists for a long time since the term structure of interest rates is an important transmission channel of monetary policy to inflation and real activity. ...