Stochastic Volatility in Mean. Empirical Evidence from Stock Latin American Markets

Descripción del Articulo

Documento de trabajo; 481
Detalles Bibliográficos
Autores: Abanto-Valle, Carlos, Rodríguez, Gabriel, Garrafa-Aragón, Hernán
Formato: documento de trabajo
Fecha de Publicación:2020
Institución:Pontificia Universidad Católica del Perú
Repositorio:PUCP-Institucional
Lenguaje:inglés
OAI Identifier:oai:repositorio.pucp.edu.pe:20.500.14657/176222
Enlace del recurso:http://repositorio.pucp.edu.pe/index/handle/123456789/176222
http://doi.org/10.18800/2079-8474.0481
Nivel de acceso:acceso abierto
Materia:Stock Latin American Markets
Stochastic Volatility in Mean
Feed-Back Effect
Hamiltonian Monte Carlo
Markov Chain Monte Carlo
Riemannian Manifold Hamiltonian Monte Carlo
Non Linear State Space Models
http://purl.org/pe-repo/ocde/ford#5.02.00
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dc.title.es_ES.fl_str_mv Stochastic Volatility in Mean. Empirical Evidence from Stock Latin American Markets
title Stochastic Volatility in Mean. Empirical Evidence from Stock Latin American Markets
spellingShingle Stochastic Volatility in Mean. Empirical Evidence from Stock Latin American Markets
Abanto-Valle, Carlos
Stock Latin American Markets
Stochastic Volatility in Mean
Feed-Back Effect
Hamiltonian Monte Carlo
Markov Chain Monte Carlo
Riemannian Manifold Hamiltonian Monte Carlo
Non Linear State Space Models
http://purl.org/pe-repo/ocde/ford#5.02.00
title_short Stochastic Volatility in Mean. Empirical Evidence from Stock Latin American Markets
title_full Stochastic Volatility in Mean. Empirical Evidence from Stock Latin American Markets
title_fullStr Stochastic Volatility in Mean. Empirical Evidence from Stock Latin American Markets
title_full_unstemmed Stochastic Volatility in Mean. Empirical Evidence from Stock Latin American Markets
title_sort Stochastic Volatility in Mean. Empirical Evidence from Stock Latin American Markets
author Abanto-Valle, Carlos
author_facet Abanto-Valle, Carlos
Rodríguez, Gabriel
Garrafa-Aragón, Hernán
author_role author
author2 Rodríguez, Gabriel
Garrafa-Aragón, Hernán
author2_role author
author
dc.contributor.author.fl_str_mv Abanto-Valle, Carlos
Rodríguez, Gabriel
Garrafa-Aragón, Hernán
dc.subject.es_ES.fl_str_mv Stock Latin American Markets
Stochastic Volatility in Mean
Feed-Back Effect
Hamiltonian Monte Carlo
Markov Chain Monte Carlo
Riemannian Manifold Hamiltonian Monte Carlo
Non Linear State Space Models
topic Stock Latin American Markets
Stochastic Volatility in Mean
Feed-Back Effect
Hamiltonian Monte Carlo
Markov Chain Monte Carlo
Riemannian Manifold Hamiltonian Monte Carlo
Non Linear State Space Models
http://purl.org/pe-repo/ocde/ford#5.02.00
dc.subject.ocde.none.fl_str_mv http://purl.org/pe-repo/ocde/ford#5.02.00
description Documento de trabajo; 481
publishDate 2020
dc.date.accessioned.none.fl_str_mv 2021-05-05T20:21:59Z
dc.date.available.none.fl_str_mv 2021-05-05T20:21:59Z
dc.date.issued.fl_str_mv 2020-02
dc.type.none.fl_str_mv info:eu-repo/semantics/workingPaper
dc.type.other.none.fl_str_mv Documento de trabajo
format workingPaper
dc.identifier.uri.none.fl_str_mv http://repositorio.pucp.edu.pe/index/handle/123456789/176222
dc.identifier.doi.none.fl_str_mv http://doi.org/10.18800/2079-8474.0481
url http://repositorio.pucp.edu.pe/index/handle/123456789/176222
http://doi.org/10.18800/2079-8474.0481
dc.language.iso.es_ES.fl_str_mv eng
language eng
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urn:issn:2079-8474
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eu_rights_str_mv openAccess
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dc.publisher.es_ES.fl_str_mv Pontificia Universidad Católica del Perú. Departamento de Economía
dc.publisher.country.none.fl_str_mv PE
dc.source.none.fl_str_mv reponame:PUCP-Institucional
instname:Pontificia Universidad Católica del Perú
instacron:PUCP
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spelling Abanto-Valle, CarlosRodríguez, GabrielGarrafa-Aragón, Hernán2021-05-05T20:21:59Z2021-05-05T20:21:59Z2020-02http://repositorio.pucp.edu.pe/index/handle/123456789/176222http://doi.org/10.18800/2079-8474.0481Documento de trabajo; 481Using 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.engPontificia Universidad Católica del Perú. Departamento de EconomíaPEurn:issn:2079-8466urn:issn:2079-8474info:eu-repo/semantics/openAccesshttp://creativecommons.org/licenses/by-nc-nd/2.5/pe/Stock Latin American MarketsStochastic Volatility in MeanFeed-Back EffectHamiltonian Monte CarloMarkov Chain Monte CarloRiemannian Manifold Hamiltonian Monte CarloNon Linear State Space Modelshttp://purl.org/pe-repo/ocde/ford#5.02.00Stochastic Volatility in Mean. 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Stochastic Volatility in Mean. Empirical Evidence from Stock Latin American Markets
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