Zobrazeno 1 - 10
of 30
pro vyhledávání: '"Mauricio Zevallos"'
Autor:
Omar Abbara, Mauricio Zevallos
Publikováno v:
Econometrics, Vol 11, Iss 1, p 1 (2022)
In this paper, we propose a new method for estimating and forecasting asymmetric stochastic volatility models. The proposal is based on dynamic linear models with Markov switching written as state space models. Then, the likelihood is calculated thro
Externí odkaz:
https://doaj.org/article/05bc18db1a8d4ff5a1b6c39c082f7fac
Autor:
Mauricio Zevallos
Publikováno v:
Economía, Vol 42, Iss 84 (2019)
In this paper I present a model to forecast the daily Value at Risk (VaR) of the Peruvian stock market (measured through the general index of the Lima Stock Exchange: the IGBVL) based on intraday (high-frequency) data. Daily volatility is estimated u
Externí odkaz:
https://doaj.org/article/7e74a6dd245843ababbe6a5b4ea11f5a
Autor:
Mauricio Zevallos, Carlos del Carpio
Publikováno v:
Economía, Vol 38, Iss 75, Pp 101-122 (2015)
Given the extensive participation of mining stocks in the Peruvian stock market, the Lima Stock Exchange (BVL) provides an ideal setting for exploring both the impact of metal returns on mining stock returns and stock market volatility, and the comov
Externí odkaz:
https://doaj.org/article/640311f1c1a24627a140e3493c84cc2e
Publikováno v:
Economía, Vol 40, Iss 79 (2017)
In this paper we use the conditional Value at Risk (CoVaR) and CoVaR variation (ΔCoVaR) proposed by Adrian and Brunnermeier (2008, 2011, 2016) to estimate the Peruvian stock market risk (through the IGBVL) conditioned on the international financial
Externí odkaz:
https://doaj.org/article/1774ac2ea2714f1fa5d090b9b09035e7
Publikováno v:
Econometrics, Vol 7, Iss 2, p 19 (2019)
Many financial decisions, such as portfolio allocation, risk management, option pricing and hedge strategies, are based on forecasts of the conditional variances, covariances and correlations of financial returns. The paper shows an empirical compari
Externí odkaz:
https://doaj.org/article/076d14c9d24f45af9d5cba7d5a032afa
Autor:
Mauricio Zevallos
Publikováno v:
Economía, Vol 31, Iss 62 (2008)
En este artículo son comparadas dos metodologías para estimar el Valor en Riesgo (VaR) del Índice General de la Bolsa de Valores de Lima (IGBVL) durante el periodo 2000-2006. Específicamente son utilizados el método RiskmetricsTM y el método d
Externí odkaz:
https://doaj.org/article/080e2d571c8f4fc98a83cf38bbb73114
Autor:
Omar Abbara, Mauricio Zevallos
Publikováno v:
Communications in Statistics: Case Studies, Data Analysis and Applications. 8:423-433
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::fe305560f499907cb89286e2283d2d37
https://doi.org/10.1080/23737484.2022.2087122
https://doi.org/10.1080/23737484.2022.2087122
Autor:
Omar Abbara, Mauricio Zevallos
Publikováno v:
Studies in Nonlinear Dynamics & Econometrics. 27:1-24
Stochastic Volatility (SV) models are an alternative to GARCH models for estimating volatility and several empirical studies have indicated that volatility exhibits long-memory behavior. The main objective of this work is to propose a new method to e
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::2f291395bb20b192749ae59d2c54cd5f
https://doi.org/10.1515/snde-2020-0106
https://doi.org/10.1515/snde-2020-0106
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::cedc74f508e93324266b88e638436f78
https://doi.org/10.2139/ssrn.4228131
https://doi.org/10.2139/ssrn.4228131
Autor:
Marc Hallin, Luiz Koodi Hotta, Carlos Trucíos, João Henrique Gonçalves Mazzeu, Pedro L. Valls Pereira, Mauricio Zevallos
Publikováno v:
Repositório Institucional do FGV (FGV Repositório Digital)
Fundação Getulio Vargas (FGV)
instacron:FGV
Fundação Getulio Vargas (FGV)
instacron:FGV
Based on a General Dynamic Factor Model with infinite-dimensional factor space and MGARCH volatility models, we develop new estimation and forecasting procedures for conditional covariance matrices in high-dimensional time series. The finite-sample p
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::20c8fb0cc57e8279f8d5972b2fdf2841
