Zobrazeno 1 - 10
of 72
pro vyhledávání: '"ZEVALLOS, MAURICIO"'
This work proposes a Bayesian rule based on the mixture of a point mass function at zero and the logistic distribution to perform wavelet shrinkage in nonparametric regression models with stationary errors (with short or long-memory behavior). The pr
Externí odkaz:
http://arxiv.org/abs/2404.14623
Publikováno v:
Economía. 40(79):87-104
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
Autor:
Zevallos, Mauricio, Carpio, Carlos del
Publikováno v:
Economía. 38(75):101-122
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
Autor:
Zevallos, Mauricio
Publikováno v:
Economía. 31(62):109-126
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
Publikováno v:
In Journal of Empirical Finance September 2024 78
In this paper we perform Bayesian estimation of stochastic volatility models with heavy tail distributions using Metropolis adjusted Langevin (MALA) and Riemman manifold Langevin (MMALA) methods. We provide analytical expressions for the application
Externí odkaz:
http://arxiv.org/abs/1507.05079
Autor:
Abbara, Omar1 (AUTHOR) muhieddine@gmail.com, Zevallos, Mauricio2 (AUTHOR)
Publikováno v:
Econometrics (2225-1146). Mar2023, Vol. 11 Issue 1, p1. 18p.
Autor:
Abbara, Omar1 (AUTHOR) muhieddine@gmail.com, Zevallos, Mauricio2 (AUTHOR) amadeus@unicamp.br
Publikováno v:
Studies in Nonlinear Dynamics & Econometrics. Feb2023, Vol. 27 Issue 1, p1-24. 24p.
Autor:
Abbara, Omar1 (AUTHOR), Zevallos, Mauricio2 (AUTHOR)
Publikováno v:
Communications in Statistics: Case Studies & Data Analysis. 2022, Vol. 8 Issue 3, p423-433. 11p.
Autor:
Zevallos, Mauricio, Hotta, Luiz Koodi
Publikováno v:
Brazilian Journal of Probability and Statistics, 2017 Aug 01. 31(3), 561-568.
Externí odkaz:
https://www.jstor.org/stable/26382118