1. Repositorio institucional de CLACSO
2. Colección de los Centros Asociados
3. México
4. Centro de Investigación y Docencia Económicas A.C. - CIDE - Cosecha

Título :	Pricing Derivatives Securities with Prior Information on Long- Memory Volatility
Palabras clave :	Economía y Finanzas;contingent pricing;econometric modeling
Editorial :	Centro de Investigación y Docencia Económicas, A.C.
Descripción :	This paper investigates the existence of long memory in the volatility of the Mexican stock market. We use a stochastic volatility (SV) model to derive statistical test for changes in volatility. In this case, estimation is carried out through the Kalman filter (KF) and the improved quasi-maximum likelihood (IQML). We also test for both persistence and long memory by using a long-memory stochastic volatility (LMSV) model, constructed by including an autoregressive fractionally integrated moving average (ARFIMA) process in a stochastic volatility scheme. Under this framework, we work up maximum likelihood spectral estimators and bootstraped confidence intervals. In the light of the empirical findings, we develop a Bayesian model for pricing derivative securities with prior information on long-memory volatility.
URI :	http://biblioteca-repositorio.clacso.edu.ar/handle/CLACSO/82834
Otros identificadores :	http://www.redalyc.org/articulo.oa?id=32312104
Aparece en las colecciones:	Centro de Investigación y Docencia Económicas A.C. - CIDE - Cosecha

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