Browsing Estadística by Author "Lengua Lafosse, Patricia"
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An empirical application of stochastic volatility models to Latin-American stock returns using GH skew student's t-distribution
Lengua Lafosse, Patricia (Pontificia Universidad Católica del PerúPE, 2015-07-17)This paper represents empirical studies of stochastic volatility (SV) models for daily stocks returns data of a set of Latin American countries (Argentina, Brazil, Chile, Mexico and Peru) for the sample period 1996:01-2013:12. ...