An application of a random level shifts model to the volatility of Peruvian stock and exchange rate returns
Junior A. Ojeda Cunya and Gabriel Rodríguez
| Year of publication: |
March-November 2016
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| Authors: | Ojeda Cunya, Junior Alex ; Rodriguez, Gabriel |
| Published in: |
Macroeconomics and finance in emerging market economies. - London [u.a.] : Routledge, ISSN 1752-0843, ZDB-ID 2425758-8. - Vol. 9.2016, 1/3, p. 34-55
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| Subject: | returns | volatility | long memory | random level shifts model | Kalman filter | ARFIMA models | GARCH models | CGARCH models | forecasting | Volatilität | Volatility | ARCH-Modell | ARCH model | Wechselkurs | Exchange rate | Zeitreihenanalyse | Time series analysis | Kapitaleinkommen | Capital income | ARMA-Modell | ARMA model | Aktienmarkt | Stock market | Zustandsraummodell | State space model | Kapitalmarktrendite | Capital market returns | Strukturbruch | Structural break | Theorie | Theory |
| Type of publication: | Article |
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| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/17520843.2015.1088880 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011583531