Browsing 3. Licenciatura by Author "Gonzáles Tanaka, José Carlos"
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An empirical applicatin of a random level shift model with time-varying probability and mean reversion to the volatility of Latin-America forex market returns
Gonzáles Tanaka, José Carlos (Pontificia Universidad Católica del PerúPE, 2017-04-26)Following Xu and Perron (2014), this paper uses daily data for six Forex Latin American markets (Argentina, Brazil, Chile, Colombia, Mexico and Peru). Four models of the family of the Random Level Shift (RLS) model are ...