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Empirical Modeling of Latin American Stock and Forex Markets Returns and Volatility using Markov-Switching GARCH Models

Author

Listed:
  • Miguel Ataurima Arellano
  • Erika Collantes

    (Departamento de Economía de la PUCP del Perú)

  • Gabriel Rodriguez y Miguel

    (Departamento de Economía de la PUCP del Perú)

Abstract

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Suggested Citation

  • Miguel Ataurima Arellano & Erika Collantes & Gabriel Rodriguez y Miguel, 2017. "Empirical Modeling of Latin American Stock and Forex Markets Returns and Volatility using Markov-Switching GARCH Models," Documentos de Trabajo / Working Papers 2017-436, Departamento de Economía - Pontificia Universidad Católica del Perú.
  • Handle: RePEc:pcp:pucwps:wp00436
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    File URL: http://files.pucp.edu.pe/departamento/economia/DDD436.pdf
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    References listed on IDEAS

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    3. Miguel Ataurima Arellano & Erika Collantes & Gabriel Rodriguez y Miguel, 2017. "Empirical Modeling of Latin American Stock and Forex Markets Returns and Volatility using Markov-Switching GARCH Models," Documentos de Trabajo / Working Papers 2017-436, Departamento de Economía - Pontificia Universidad Católica del Perú.
    4. Robert E. Klitgaard & George R. Hall, 1975. "Are There Unusually Effective Schools?," Journal of Human Resources, University of Wisconsin Press, vol. 10(1), pages 90-106.
    5. Santiago Cueto & Juan León & Alejandra Miranda, "undated". "Características socioeconómicas y rendimiento de los estudiantes en el Perú," Boletín y:2015:i:28:p:1-4, Grupo de Análisis para el Desarrollo (GRADE).
    6. Kristof De Witte & Wim Groot & Henri?tte Maassen van den Brink, 2012. "The Efficiency of Education in Generating Literacy: A Stochastic Frontier Approach," Review of Economics & Finance, Better Advances Press, Canada, vol. 2, pages 25-37, February.
    7. Charnes, A. & Cooper, W. W. & Rhodes, E., 1978. "Measuring the efficiency of decision making units," European Journal of Operational Research, Elsevier, vol. 2(6), pages 429-444, November.
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    10. Waldo Mendoza Bellido, 2016. "Una alternativa al IS-LM-DA-OA: El modelo IS-MR-DA-OA," Documentos de Trabajo / Working Papers 2016-433, Departamento de Economía - Pontificia Universidad Católica del Perú.
    11. Meeusen, Wim & van den Broeck, Julien, 1977. "Efficiency Estimation from Cobb-Douglas Production Functions with Composed Error," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 18(2), pages 435-444, June.
    12. Glewwe, Paul & Kremer, Michael, 2006. "Schools, Teachers, and Education Outcomes in Developing Countries," Handbook of the Economics of Education, Elsevier.
    13. Ana María Iregui & Ligia Melo B. & Jorge Ramos, 2006. "Evaluación y análisis de eficiencia de la educación en Colombia," Borradores de Economia 381, Banco de la Republica de Colombia.
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    17. Guillermo Jopen & Walter Gómez & Herbert Olivera, 2014. " Sistema educativo peruano: balance y agenda pendiente," Documentos de Trabajo / Working Papers 2014-379, Departamento de Economía - Pontificia Universidad Católica del Perú.
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    22. Benavides, Martín & León, Juan & Etesse, Manuel, 2014. "Desigualdades educativas y segregación en el sistema educativo peruano: una mirada comparativa de las pruebas PISA 2000 y 2009," Avances de Investigación 0015, Grupo de Análisis para el Desarrollo (GRADE).
    23. R. D. Banker & A. Charnes & W. W. Cooper, 1984. "Some Models for Estimating Technical and Scale Inefficiencies in Data Envelopment Analysis," Management Science, INFORMS, vol. 30(9), pages 1078-1092, September.
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    25. Paul Glewwe, 2002. "Schools and Skills in Developing Countries: Education Policies and Socioeconomic Outcomes," Journal of Economic Literature, American Economic Association, vol. 40(2), pages 436-482, June.
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    Cited by:

    1. Guillermo Jopen Sánchez, 2017. " Factores discrecionales y no discrecionales de la eficiencia educativa: evidencias para el caso peruano," Documentos de Trabajo / Working Papers 2017-437, Departamento de Economía - Pontificia Universidad Católica del Perú.

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