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Modeling Latin-American stock markets volatility : varying probabilities and mean reversion in a random level shifts model
Rodriguez, Gabriel - 2015
Persistent link: https://www.econbiz.de/10011415396
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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
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Extreme value theory : an application to the Peruvian stock market returns
Rodriguez, Gabriel - In: Revista de métodos cuantitativos para la economía y … 23 (2017), pp. 48-74
Using daily observations of the index and stock market returns for the Peruvian case from January 3, 1990 to May 31, 2013, this paper models the distribution of daily loss probability, estimates maximum quantiles and tail probabilities of this distribution, and models the extremes through a...
Persistent link: https://www.econbiz.de/10011689643
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Modeling Latin-American stock markets volatility : varying probabilities and mean reversion in a random level shift model
Rodriguez, Gabriel - In: Review of development finance 6 (2016) 1, pp. 26-45
Persistent link: https://www.econbiz.de/10011588077
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Modeling Latin-American stock and Forex markets volatility : empirical application of a model with random level shifts and genuine long memory
Rodriguez, Gabriel - In: The North American journal of economics and finance : a … 42 (2017), pp. 393-420
Persistent link: https://www.econbiz.de/10011938140
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Approximate Bayesian estimation of stochastic volatility in mean models using hidden Markov models : empirical evidence from emerging and developed markets
Abanto-Valle, Carlos A.; Rodriguez, Gabriel; Castro … - In: Computational economics 64 (2024) 3, pp. 1775-1801
Persistent link: https://www.econbiz.de/10015143955
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Asymmetries in volatility : an empirical study for the Peruvian stock and Forex markets
Alanya, Willy; Rodriguez, Gabriel - 2016
Persistent link: https://www.econbiz.de/10011538600
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Modelling the volatility of commodities prices using a stochastic volatility model with random level shifts
Alvaro, Dennis; Guillén, Ángel; Rodriguez, Gabriel - 2016
Persistent link: https://www.econbiz.de/10011538601
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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