Browsing Economía (Mag.) by Author "Rodríguez, Gabriel"
Now showing items 1-3 of 3
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Duration models and value at risk using high-frequency data for the peruvian stock market
Téllez De Vettori, Giannio; Najarro Chuchón, Ricardo (Pontificia Universidad Católica del PerúPE, 2017-02-20)Most empirical studies in nance use data on a daily basis which is obtained by retaining the last observation of the day and ignoring all intraday records. However, as a result of the increased automatization of nancial ... -
Empirical modelling of latin american stock markets returns and volatility using Markov - Switching garch models
Ataurima Arellano, Miguel (Pontificia Universidad Católica del PerúPE, 2017-03-09)Using a sample of weekly frequency of the stock markets returns series, we estimate a set of Markov-Switching-Generalized Autoregressive Conditional Heterocedastic- ity (MS-GARCH) models to a set of Latin American countries ... -
Estimation of the sovereign yield curve of Peru : the role of macroeconomic and latent factors
Olivares Ríos, Alejandra (Pontificia Universidad Católica del PerúPE, 2017-03-04)The study of the yield curve has been a topic that interested economists for a long time since the term structure of interest rates is an important transmission channel of monetary policy to inflation and real activity. ...