Browsing by Author "Fernández Prada Saucedo, Jean Pierre"
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Modeling the volatility of returns on commodities: an application and empirical comparison of GARCH and SV models
Fernández Prada Saucedo, Jean Pierre (Pontificia Universidad Católica del PerúPE, 2021-03-10)Seven GARCH and stochastic volatility (SV) models are compared to model empirically the volatility of returns on four commodities relevant for South America economies: gold, copper, oil, and natural gas. Our results show ...