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https://biblioteca-repositorio.clacso.edu.ar/handle/CLACSO/82834Registro completo de metadatos
| Campo DC | Valor | Lengua/Idioma |
|---|---|---|
| dc.creator | Alejandro Islas Camargo | - |
| dc.creator | Francisco Venegas Martínez | - |
| dc.date | 2003 | - |
| dc.date.accessioned | 2022-03-22T16:07:32Z | - |
| dc.date.available | 2022-03-22T16:07:32Z | - |
| dc.identifier | http://www.redalyc.org/articulo.oa?id=32312104 | - |
| dc.identifier.uri | http://biblioteca-repositorio.clacso.edu.ar/handle/CLACSO/82834 | - |
| dc.description | 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. | - |
| dc.format | application/pdf | - |
| dc.language | en | - |
| dc.publisher | Centro de Investigación y Docencia Económicas, A.C. | - |
| dc.relation | http://www.redalyc.org/revista.oa?id=323 | - |
| dc.rights | Economía Mexicana. Nueva Época | - |
| dc.source | Economía Mexicana. Nueva Época (México) Num.1 Vol.XII | - |
| dc.subject | Economía y Finanzas | - |
| dc.subject | contingent pricing | - |
| dc.subject | econometric modeling | - |
| dc.title | Pricing Derivatives Securities with Prior Information on Long- Memory Volatility | - |
| dc.type | artículo científico | - |
| Aparece en las colecciones: | Centro de Investigación y Docencia Económicas A.C. - CIDE - Cosecha | |
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