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subject:"Kapitaleinkommen"
~person:"Rodriguez, Gabriel"
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Search: subject_exact:"Autoregressive conditional heteroscedasticity"
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Kapitaleinkommen
ARCH model
15
ARCH-Modell
15
Volatility
14
Volatilität
14
Capital income
8
Aktienmarkt
7
Stock market
7
Time series analysis
7
Zeitreihenanalyse
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Devisenmarkt
6
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Foreign exchange market
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Wechselkurs
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Lateinamerika
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Latin America
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Share price
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Bayes-Statistik
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4
Peru
4
Stochastic process
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Stochastischer Prozess
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ARFIMA models
3
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3
Estimation theory
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Long memory
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Schätztheorie
3
Bayesian estimation
2
Capital market returns
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GARCH
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GARCH models
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Rodriguez, Gabriel
Gupta, Rangan
27
Engle, Robert F.
19
Kumar, Dilip
18
McAleer, Michael
18
Ma, Feng
17
Bouri, Elie
14
Chang, Chia-Lin
14
Chiang, Thomas C.
14
Paolella, Marc S.
13
Bauwens, Luc
12
Elyasiani, Elyas
11
Floros, Christos
11
Teräsvirta, Timo
11
Brooks, Robert
10
Haas, Markus
10
Zhang, Yaojie
10
Huang, Zhuo
9
Koopman, Siem Jan
9
Ledoit, Olivier
9
Mansur, Iqbal
9
Tiwari, Aviral Kumar
9
Wolf, Michael
9
Ardia, David
8
Bohl, Martin T.
8
Bollerslev, Tim
8
Hansen, Peter Reinhard
8
Li, Yan
8
Mittnik, Stefan
8
Prokopczuk, Marcel
8
Wang, Yudong
8
Zhu, Jie
8
Hoogerheide, Lennart F.
7
Jondeau, Eric
7
Liang, Chao
7
Lucas, André
7
McMillan, David G.
7
Molnár, Peter
7
Nguyen, Duc Binh Benno
7
Nonejad, Nima
7
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Documento de trabajo / Pontifícia Universidad Católica del Perú, Departamento de Economía
2
Documento de trabajo
1
Journal of emerging market finance
1
Macroeconomics and finance in emerging market economies
1
Portuguese economic journal
1
Review of Pacific Basin financial markets and policies
1
Revista de análisis económico
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ECONIS (ZBW)
8
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1
Modeling the volatility of returns on commodities: an application and empirical comparison of GARCH and SV models
Fernández Prada Saucedo, Jean Pierre
;
Rodriguez, Gabriel
-
2020
Persistent link: https://www.econbiz.de/10012435636
Saved in:
2
Empirical modeling of Latin American stock ans Forex markes returns and volatility using Markov-Switching Garch models
Ataurima Arellano, Miguel
;
Collantes, Erika
;
Rodriguez, …
-
2017
Persistent link: https://www.econbiz.de/10011738077
Saved in:
3
An empirical application of a random level shifts model with time-varying probability and mean reversion to the volatility of Latin-American Forex markets returns
Gonzáles Tanaka, José Carlos
;
Rodriguez, Gabriel
-
2016
Persistent link: https://www.econbiz.de/10011538602
Saved in:
4
Asymmetries in Volatility : an empirical study for the Peruvian stock and Forex markets
Alanya, Willy
;
Rodriguez, Gabriel
- In:
Review of Pacific Basin financial markets and policies
22
(
2019
)
1
,
pp. 1950003-1-1950003-18
Persistent link: https://www.econbiz.de/10012156142
Saved in:
5
An empirical note about estimation and forecasting Latin American Forex returns volatility : the role of long memory and random level shifts components
Rodriguez, Gabriel
;
Ojeda Cunya, Junior Alex
;
Gonzáles …
- In:
Portuguese economic journal
18
(
2019
)
2
,
pp. 107-123
Persistent link: https://www.econbiz.de/10012111301
Saved in:
6
Stochastic volatility in the Peruvian stock market and exchange rate returns : a Bayesian approximation
Alanya, Willy
;
Rodriguez, Gabriel
- In:
Journal of emerging market finance
17
(
2018
)
3
,
pp. 354-385
Persistent link: https://www.econbiz.de/10011964842
Saved in:
7
Selecting between autoregressive conditional heteroskedasticity models : an empirical application to the volatility of stock returns in Peru
Rodriguez, Gabriel
- In:
Revista de análisis económico
32
(
2017
)
1
,
pp. 69-94
Persistent link: https://www.econbiz.de/10011924649
Saved in:
8
An application of a random level shifts model to the volatility of Peruvian stock and exchange rate returns
Ojeda Cunya, Junior Alex
;
Rodriguez, Gabriel
- In:
Macroeconomics and finance in emerging market economies
9
(
2016
)
1/3
,
pp. 34-55
Persistent link: https://www.econbiz.de/10011583531
Saved in:
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