| dc.creator | Abanto-Valle, Carlos | |
| dc.creator | Rodríguez, Gabriel | |
| dc.creator | Garrafa-Aragón, Hernán | |
| dc.date | 2021-05-05T20:21:59Z | |
| dc.date | 2021-05-05T20:21:59Z | |
| dc.date | 2020-02 | |
| dc.date.accessioned | 2023-03-09T04:52:45Z | |
| dc.date.available | 2023-03-09T04:52:45Z | |
| dc.identifier | http://repositorio.pucp.edu.pe/index/handle/123456789/176222 | |
| dc.identifier | http://doi.org/10.18800/2079-8474.0481 | |
| dc.identifier.uri | https://repositorioslatinoamericanos.uchile.cl/handle/2250/6013857 | |
| dc.description | Documento de trabajo; 481 | |
| dc.description | Using a Stochastic Volatility in Mean (SVM) model, we perform an empirical study of live Latin
American indexes in order to see the impact of the volatility in the mean of the returns. We
use MCMC Hamiltonian dynamics. The results indicate that volatility has a negative impact
on returns suggesting that the volatility feedback effect is stronger than the effect related to the
expected volatility. This result is clear and opposite to the finding of Koopman and Uspensky
(2002). The other countries present negative values but the upper tail of the intervals are near to
the zero value. | |
| dc.format | application/pdf | |
| dc.language | eng | |
| dc.publisher | Pontificia Universidad Católica del Perú. Departamento de Economía | |
| dc.publisher | PE | |
| dc.relation | urn:issn:2079-8466 | |
| dc.relation | urn:issn:2079-8474 | |
| dc.rights | Atribución-NoComercial-SinDerivadas 2.5 Perú | |
| dc.rights | info:eu-repo/semantics/openAccess | |
| dc.rights | http://creativecommons.org/licenses/by-nc-nd/2.5/pe/ | |
| dc.subject | Stock Latin American Markets | |
| dc.subject | Stochastic Volatility in Mean | |
| dc.subject | Feed-Back Effect | |
| dc.subject | Hamiltonian Monte Carlo | |
| dc.subject | Markov Chain Monte Carlo | |
| dc.subject | Riemannian Manifold Hamiltonian Monte Carlo | |
| dc.subject | Non Linear State Space Models | |
| dc.subject | http://purl.org/pe-repo/ocde/ford#5.02.00 | |
| dc.title | Stochastic Volatility in Mean. Empirical Evidence from Stock Latin American Markets | |
| dc.type | info:eu-repo/semantics/workingPaper | |
| dc.type | Documento de trabajo | |
