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)
An empirical applicatin of a random level shift model with time-varying probability and mean reversion to the volatility of Latin-America forex market returns
Following Xu and Perron (2014), this paper uses daily data for six Forex Latin American markets (Argentina, Brazil, Chile, Colombia, Mexico and Peru). Four models of the family of the Random Level Shift (RLS) model are estimated: a basic model where probabilities of level shift are driven by a Berno...
| Autor Principal: | Gonzáles Tanaka, José Carlos |
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| Formato: | Tesis de Licenciatura |
| Idioma: | Inglés |
| Publicado: |
Pontificia Universidad Católica del Perú
2017
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| Materias: | |
| Acceso en línea: |
http://tesis.pucp.edu.pe/repositorio/handle/123456789/8482 |
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