An empirical application of stochastic volatility models to Latin-American stock returns using GH skew student's t-distribution
dc.contributor.advisor | Bayes Rodríguez, Cristian Luis | es_ES |
dc.contributor.author | Lengua Lafosse, Patricia | es_ES |
dc.date.accessioned | 2015-07-17T15:34:04Z | es_ES |
dc.date.available | 2015-07-17T15:34:04Z | es_ES |
dc.date.created | 2015 | es_ES |
dc.date.issued | 2015-07-17 | es_ES |
dc.description.abstract | 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. We estimate SV models incorporating both leverage effects and skewed heavy-tailed disturbances taking into account the GH Skew Student’s t-distribution using the Bayesian estimation method proposed by Nakajima and Omori (2012). A model comparison between the competing SV models with symmetric Student´s t-disturbances is provided using the log marginal likelihoods in the empirical study. A prior sensitivity analysis is also provided. The results suggest that there are leverage effects in all indices considered but there is not enough evidence for Peru, and skewed heavy-tailed disturbances is confirmed only for Argentina, symmetric heavy-tailed disturbances for Mexico, Brazil and Chile, and symmetric Normal disturbances for Peru. Furthermore, we find that the GH Skew Student s t-disturbance distribution in the SV model is successful in describing the distribution of the daily stock return data for Peru, Argentina and Brazil over the traditional symmetric Student´s t-disturbance distribution. | es_ES |
dc.identifier.uri | http://hdl.handle.net/20.500.12404/6167 | |
dc.language.iso | eng | es_ES |
dc.publisher | Pontificia Universidad Católica del Perú | es_ES |
dc.publisher.country | PE | es_ES |
dc.rights | info:eu-repo/semantics/openAccess | es_ES |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/2.5/pe/ | * |
dc.subject | Estadística bayesiana | es_ES |
dc.subject | Análisis estocástico | es_ES |
dc.subject | Bolsa de Valores | es_ES |
dc.subject.ocde | https://purl.org/pe-repo/ocde/ford#1.01.03 | es_ES |
dc.title | An empirical application of stochastic volatility models to Latin-American stock returns using GH skew student's t-distribution | es_ES |
dc.type | info:eu-repo/semantics/masterThesis | es_ES |
renati.advisor.dni | 40372640 | |
renati.advisor.orcid | https://orcid.org/0000-0003-0474-7921 | es_ES |
renati.discipline | 542037 | es_ES |
renati.level | https://purl.org/pe-repo/renati/level#maestro | es_ES |
renati.type | http://purl.org/pe-repo/renati/type#tesis | es_ES |
thesis.degree.discipline | Estadística | es_ES |
thesis.degree.grantor | Pontificia Universidad Católica del Perú. Escuela de Posgrado | es_ES |
thesis.degree.level | Maestría | es_ES |
thesis.degree.name | Maestro en Estadística | es_ES |
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