Modeling Latin-American Stock and Forex Markets Volatility: Empirical Application of a Model with Random Level Shifts and Genuine Long Memory
por: Rodríguez Marzo, Gabriel
Publicado: (2018)
Empirical Modeling of Latin American Stock and Forex Markets Returns and Volatility using Markov-Switching GARCH Models
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 countries (Brazil, Chile, Colombia, Mexico and Peru) with an approach based on...
| Autor Principal: | Ataurima Arellano, Miguel |
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| Otros Autores: | Collantes, Erika, Rodriguez , Gabriel |
| Formato: | info:eu-repo/semantics/workingPaper |
| Idioma: | spa |
| Publicado: |
Pontificia Universidad Católica del Perú. Departamento de Economía
2018
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| Materias: | |
| Acceso en línea: |
http://repositorio.pucp.edu.pe/index/handle/123456789/126767 |
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