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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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Modelling the volatility of commodities prices using a stochastic volatility model with random level shifts
Alvaro, Dennis; Guillén, Ángel; Rodriguez, Gabriel - In: Review of world economics 153 (2017) 1, pp. 71-103
Persistent link: https://www.econbiz.de/10011889303
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Demanda de dinero y estacionalidad en el mercado monetario
Rodriguez, Gabriel - In: Economía : revista del Departamento de Economía, … 16 (1995) 32, pp. 141-157
Persistent link: https://www.econbiz.de/10001189299
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An empirical note about additive outliers and nonstationarity in Latin-American inflation series
Rodriguez, Gabriel - In: Empirical economics : a journal of the Institute for … 29 (2004) 2, pp. 361-372
Persistent link: https://www.econbiz.de/10002080079
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Using a forward-looking Phillips curve to estimate the output gap in Peru
Rodriguez, Gabriel - In: Review of applied economics 6 (2010) 1/2, pp. 85-97
Persistent link: https://www.econbiz.de/10008736627
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Stability of central bank preferences, macroeconomic shocks, and efficiency of the monetary policy : empirical evidence for Canada
Rodriguez, Gabriel - In: Applied economics letters 15 (2008) 4/6, pp. 437-441
Persistent link: https://www.econbiz.de/10003727464
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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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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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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