Browsing Documentos de Trabajo by Subject "Latin-American Forex market"
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Empirical Modeling of Latin American Stock and Forex Markets Returns and Volatility using Markov-Switching GARCH Models
(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 ...