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Bayes Rodríguez, Cristian Luis (es_ES)
Lengua Lafosse, Patricia (es_ES)
2015-07-17T15:34:04Z (es_ES)
2015-07-17T15:34:04Z
2015-07-17T15:34:04Z (es_ES)
2015-07-17T15:34:04Z
2015 (es_ES)
2015-07-17 (es_ES)
http://hdl.handle.net/20.500.12404/6167
This paper represents empirical studies of stochastic volatility (SV) models for daily stocks returns data of a set of Latin American countries (Argentina, Brazil, Chile, Mexico and Peru) for the sample period 1996:01-2013:12. We estimate SV models incorporating both leverage effects and skewed heavy-tailed disturbances taking into account the GH Skew Student’s t-distribution using the Bayesian estimation method proposed by Nakajima and Omori (2012). A model comparison between the competing SV models with symmetric Student´s t-disturbances is provided using the log marginal likelihoods in the empirical study. A prior sensitivity analysis is also provided. The results suggest that there are leverage effects in all indices considered but there is not enough evidence for Peru, and skewed heavy-tailed disturbances is confirmed only for Argentina, symmetric heavy-tailed disturbances for Mexico, Brazil and Chile, and symmetric Normal disturbances for Peru. Furthermore, we find that the GH Skew Student s t-disturbance distribution in the SV model is successful in describing the distribution of the daily stock return data for Peru, Argentina and Brazil over the traditional symmetric Student´s t-disturbance distribution. (es_ES)
eng (es_ES)
Pontificia Universidad Católica del Perú (es_ES)
info:eu-repo/semantics/openAccess (es_ES)
http://creativecommons.org/licenses/by-nc-nd/2.5/pe/ (*)
Estadística bayesiana (es_ES)
Análisis estocástico (es_ES)
Bolsa de Valores (es_ES)
An empirical application of stochastic volatility models to Latin-American stock returns using GH skew student's t-distribution (es_ES)
info:eu-repo/semantics/masterThesis (es_ES)
Pontificia Universidad Católica del Perú. Escuela de Posgrado (es_ES)
Estadística (es_ES)
Maestría (es_ES)
Maestro en Estadística (es_ES)
PE (es_ES)
https://purl.org/pe-repo/ocde/ford#1.01.03 (es_ES)
https://purl.org/pe-repo/renati/level#maestro (es_ES)
40372640
https://orcid.org/0000-0003-0474-7921 (es_ES)
542037 (es_ES)
http://purl.org/pe-repo/renati/type#tesis (es_ES)
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