Author: Publisher:
ISBN:
Category :
Languages : en
Pages : 21
Book Description
Modeling Latin-American Stock Markets Volatility
Author: Modeling Latin-American Stock and Forex Markets Volatility
Author: Gabriel RodriguezEmpirical modelling of latin american stock markets returns and volatility using Markov - Switching garch models
Author: Miguel Ataurima ArellanoPublisher:
ISBN:
Category :
Languages : es
Pages :
Book Description
Long Memory Stochastic Volatility Models of Latin American Stock Markets
Author: Alejandro Islas CamargoPublisher:
ISBN:
Category : Stock price indexes
Languages : en
Pages : 56
Book Description
Empirical Modeling of Latin American Stock and Forex Markets Returns and Volatility Using Markov-Switching Garch Models
Author: Miguel Ataurima ArellanoPublisher:
ISBN:
Category :
Languages : en
Pages : 56
Book Description
An Application of a Short Memory Model with Random Level Shifts to the Volatility of Latin American Stock Market Returns
Author: Volatility Transmission Between US and Latin American Stock Markets
Author: Laura CardonaPublisher:
ISBN:
Category :
Languages : en
Pages : 34
Book Description
We test for volatility transmission between US and the six largest Latin American stock markets (Argentina, Brazil, Chile, Colombia, Mexico and Peru) using MGARCH-BEKK models in daily frequency from March 1993 to March 2013. As expected, we find strong evidence of volatility transmission from US to the Latin American markets but not so in the opposite direction. Testing the hypothesis of decoupling between US and Brazil and Mexico the evidence goes against it: the conditional correlations between US and the two emerging markets have steadily increased over the sample period and the volatility transmission have become more significant from 2003 onwards. We also find some evidence on the leadership of Brazil in the region, being the only Latin American stock market consistently transmitting volatility to US.
An Application of a Short Memory Model with Random Level Shifts to the Volatility of Latin American Stock Market Returns
Author: An Empirical Application of Stochastic Volatility Models to Latin-American Stock Returns Using GH Skew Student's T-distribution
Author: Modelling the Linkages Between US and Latin American Stock Markets
Author: José Luis Fernández SerranoPublisher:
ISBN:
Category : Mercado de valores
Languages : en
Pages : 25
Book Description