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dc.contributor.author De Jesús Gutiérrez, Raúl
dc.contributor.author Ortiz Calisto, Edgar
dc.contributor.author García Salgado, Oswaldo
dc.date.accessioned 2018-03-11T04:34:19Z
dc.date.available 2018-03-11T04:34:19Z
dc.date.issued 2017-10-25
dc.identifier.issn 08161042
dc.identifier.uri http://hdl.handle.net/20.500.11799/79829
dc.description Este artículo analiza el comportamiento de la volatilidad en los mercados accionarios de América Latina. es
dc.description.abstract This article proposes an extension to the CGARCH model in order to capture the characteristics ofshort-run and long-run asymmetry and persistence, and examine their effects in modeling and forecastingthe conditional volatility of the stock markets from the region of Latin America during the period from 2January 1992 to 31 December 2014. In the sample analysis, the estimation results of the CGARCH-classmodel family reveal the presence of short-run and long-run significant asymmetric effects and long-runpersistency in the structure of stock price return volatility. The empirical results also show that the use ofsymmetric and asymmetric loss functions and the statistical test of Hansen (2005) are sound alternativesfor evaluating the predictive ability of the asymmetric CGARCH models. In addition, the inclusion of long-run asymmetry and long-run persistency in the variance equation improves significantly the out of samplevolatility forecasts for emerging stock markets of Argentina and Mexico. es
dc.language.iso eng es
dc.publisher Universidad Nacional Autónoma de México es
dc.rights embargoedAccess es
dc.rights https://creativecommons.org/licenses/by-nc/4.0/ es
dc.rights embargoedAccess es
dc.rights https://creativecommons.org/licenses/by-nc/4.0/ es
dc.subject Research Subject Categories::SOCIAL SCIENCES es
dc.subject Asymmetric volatility es
dc.subject Emerging stock markets es
dc.subject Symmetric and asymmetric loss functions es
dc.subject Superior predictive ability test es
dc.title Long-term effects of the asymmetry and persistence of the prediction of volatility: Evidence for the equity markets of Latin America es
dc.type Artículo es
dc.provenance Científica es
dc.road Dorada es
dc.organismo Economía es
dc.ambito Internacional es
dc.cve.CenCos 21101 es


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  • Título
  • Long-term effects of the asymmetry and persistence of the prediction of volatility: Evidence for the equity markets of Latin America
  • Autor
  • De Jesús Gutiérrez, Raúl
  • Ortiz Calisto, Edgar
  • García Salgado, Oswaldo
  • Fecha de publicación
  • 2017-10-25
  • Editor
  • Universidad Nacional Autónoma de México
  • Tipo de documento
  • Artículo
  • Palabras clave
  • Research Subject Categories::SOCIAL SCIENCES
  • Asymmetric volatility
  • Emerging stock markets
  • Symmetric and asymmetric loss functions
  • Superior predictive ability test
  • Los documentos depositados en el Repositorio Institucional de la Universidad Autónoma del Estado de México se encuentran a disposición en Acceso Abierto bajo la licencia Creative Commons: Atribución-NoComercial-SinDerivar 4.0 Internacional (CC BY-NC-ND 4.0)

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