Stochastic Volatility in Mean: Empirical evidence from Latin-American stock markets using Hamiltonian Monte Carlo and Riemann Manifold HMC methods

Autor: Gabriel Rodríguez, Hernán B. Garrafa-Aragón, Carlos A. Abanto-Valle

Publikováno v: The Quarterly Review of Economics and Finance. 80:272-286

The Stochastic Volatility in Mean (SVM) model of Koopman and Uspensky (2002) is revisited. An empirical study of five Latin American indexes in order to see the impact of the volatility in the mean of the returns is performed. Markov Chain Monte Carl

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::b1031187494c0959cd2d778b2b4fb1f5
https://doi.org/10.1016/j.qref.2021.02.005

Threshold Stochastic Volatility Models with Heavy Tails: A Bayesian Approach

Autor: Hernán B. Garrafa-Aragón, Carlos A. Abanto-Valle

Publikováno v: Economía; Volume 42 Issue 83 (2019); 32-53
PUCP-Institucional
Pontificia Universidad Católica del Perú
instacron:PUCP
Economía, Vol 42, Iss 83 (2019)

This paper extends the threshold stochastic volatility (THSV) model specification proposed in So et al. (2002) and Chen et al. (2008) by incorporating thick-tails in the mean equation innovation using the scale mixture of normal distributions (SMN).

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::2a9572edf372479c9aa8a95ce0c7e7e9
http://revistas.pucp.edu.pe/index.php/economia/article/view/21103/20850