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Un modelo TGARCH con una distribución t de Student asimétrica y las hipotesis de racionalidad de los inversionistas bursátiles en Latinoamérica
Lorenzo-Valdes, Arturo; Ruiz-Porras, Antonio - Volkswirtschaftliche Fakultät, … - 2014
We propose an ARCH model of the TGARCH type with an asymmetric Student's t distribution. It is built using the methodology of Fernandez and Steel (1998) and the traditional TGARCH model developed by Zakoian (1994). The model is used to describe series of stock market returns and to assess the...
Persistent link: https://www.econbiz.de/10011260435
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Valuation of Latin-American stock prices with alternative versions of the Ohlson model: An investigation of cointegration relationships with time-series and panel-data
Duran-Vazquez, Rocio; Lorenzo-Valdes, Arturo; … - Volkswirtschaftliche Fakultät, … - 2011
We develop an investigation regarding the determinants of the stock prices in six Latin American emerging markets (Argentina, Brazil, Chile, Colombia, Mexico and Peru). We test the traditional Ohlson model and an international version of it. The international model includes the Dow Jones index...
Persistent link: https://www.econbiz.de/10009246897
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Valuation of Latin-American stock prices with alternative versions of the Ohlson model: An investigation of cointegration relationships with time-series and panel-data
Duran-Vazquez, Rocio; Lorenzo-Valdes, Arturo; … - Volkswirtschaftliche Fakultät, … - 2011
We develop an investigation regarding the determinants of the stock prices in six Latin American emerging markets (Argentina, Brazil, Chile, Colombia, Mexico and Peru). We test the traditional Ohlson model and an international version of it. The international model includes the Dow Jones index...
Persistent link: https://www.econbiz.de/10009151301