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Using A Forward-Looking Phillips Curve to Estimate the Output Gap in Peru,
Gabriel Rodríguez,
in Review of Applied Economics
(2010)
Keywords: Labor and Human Capital, Marketing, Public Economics, Research Methods/ Statistical Methods
Estimation of the Taylor Rule for Canada Under Multiple Structural Changes,
Gabriel Rodríguez,
from University of Ottawa, Department of Economics
(2001)
Keywords: Taylor Rule,Markov-SwitchingModels, Structural Change, Unit Root, Inflation, Interest Rate, Output Gap.
The Role of the Interprovincial Transfers in the B-Convergence Process. Further Empirical Evidence for CanadaAbstract: Based on the approach of Timljonavich and Vogelsang (2002), I present empirical evidence of the role of the federal transfers on the B-convergence process in Canadian provinces. Using information on personal income for the period 1926-1999, the principal conclusion is that the interprovincial transfers were not determinant or decisive to the attainment of deterministic convergence in the Canadian provinces. Their role have been to accelerate the convergence process, particularly in poorer provinces,
Gabriel Rodríguez,
from University of Ottawa, Department of Economics
(2003)
Keywords: B-Convergence, Regional per capita Income, Trend Functions, Serial Correlation, I(0) and I(1) Process.
Identifying Canadian Regional Business Cycles using the Friedmand Plucking Model,
Gabriel Rodríguez,
from University of Ottawa, Department of Economics
(2003)
Keywords: Business Regional Fluctuations, Markov Switching, Transitory and Permanent Components
Are Canadian Regional Business Cycles All Alike?,
Gabriel Rodríguez,
from University of Ottawa, Department of Economics
(2003)
Keywords: Regional Business Fluctuations, Markov Switching, Unobserved Components.
Stability of Central Bank Preferences, Macroeconomic Shocks, and Efficiency of the Monetary Policy. Empirical Evidence for Canada,
Gabriel Rodríguez,
from University of Ottawa, Department of Economics
(2006)
Keywords: Interest Rate Rule, Structural Breaks, Inflation Targeting, Output Gap, Preferences, Macroeconomic Shocks
Finite Sample Behaviour of the Level Shift Model using Quasi-Differenced Data,
Gabriel Rodríguez,
from University of Ottawa, Department of Economics
(2006)
Keywords: Unit root test, GLS detrending, structural change, truncation lag, information criteria
Selecting between Autoregressive Conditional Heteroskedasticity Models: An Empirical Application to the Volatility of Stock Returns in Peru,
Gabriel Rodríguez,
in Revista de Analisis Economico – Economic Analysis Review
(2017)
Keywords: Univariate autoregressive conditional heteroskedasticity models, Peruvian stock market returns, volatility, symmetries, asymmetries, normal, t-Student, skewed t-Student, GED distribution
An empirical note about additive outliers and nonstationarity in Latin-American inflation series,
Gabriel Rodríguez,
in Empirical Economics
(2004)
Keywords: Additive outliers, unit root, M-tests, ADF test, GLS detrended data, inflation,
On the value of information in the presence of moral hazard,
Gabriel Rodríguez,
in Review of Economic Design
(2007)
Keywords: Value of information, Principal-agent model, Moral hazard, D81, D8, C7,
Application of Three Non-Linear Econometric Approaches to Identify Business Cycles in Peru,
Gabriel Rodríguez,
in OECD Journal: Journal of Business Cycle Measurement and Analysis
(2010)
Extreme Value Theory: An Application to the Peruvian Stock Market Returns || Teoría de valores extremos: una aplicación a los retornos bursátiles peruanos,
Gabriel Rodríguez,
in Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration
(2017)
Keywords: extreme value theory; value-at-risk (VaR); expected short-fall (ES); generalized Pareto distribution (GPD); Gumbel distribution; exponential distribution; Fréchet distribution; extreme loss; Peruvian stock market; teoría de valores extremos; valor en riesgo (VaR); pérdida esperada (ES); distribución de Pareto Generalizada (GPD); distribución de Gumbel; distribución exponencial; distribución de Fréchet; pérdida extrema; mercado bursátil peruano
Demanda de dinero y estacionalidad en el mercado monetario,
Gabriel Rodríguez,
in Revista Economía
(1993)
Keywords: demanda del dinero, mercado monetario
Eficiencia de la política monetaria y la estabilidad de las preferencias del Banco Central. Evidencia empírica para el Perú,
Gabriel Rodríguez,
in Revista Estudios Económicos
(2008)
ESTIMATING OUTPUT GAP, CORE INFLATION, AND THE NAIRU FOR PERU, 1979-2007,
Gabriel Rodríguez,
in Applied Econometrics and International Development
(2010)
Keywords: Potential Output, Core Inflation, NAIRU, Latent Variables, Investment
Modeling Latin-American stock and Forex markets volatility: Empirical application of a model with random level shifts and genuine long memory,
Gabriel Rodríguez,
in The North American Journal of Economics and Finance
(2017)
Keywords: Long memory; ARFIMA models; Random level shifts; Latin-American stock and Forex markets volatility; Density forecasts; Value-at-Risk;
The role of the interprovincial transfers in theβ‐convergence process,
Gabriel Rodríguez,
in Journal of Economic Studies
(2006)
Keywords: Economic convergence, Income, Canada
Registered author: Gabriel Rodríguez
Una nota empírica sobre outliers aditivos y no estacionariedad en series de inflación en América Latina,
Gabriel Rodríguez,
from Fondo Editorial - Pontificia Universidad Católica del Perú
(2009)
Keywords: economía, Máximo Vega-Centeno, Latinoamérica, finanzas
Consumo de Alimentos en Sectores Populares,
Gabriel Rodríguez,
from Otras editoriales / Other publishers
(1993)
Keywords: consumo de alimentos, barrios marginales, Peru
Application of three non-linear econometric approaches to identify business cycles in Peru,
Gabriel Rodríguez,
from Departamento de Economía - Pontificia Universidad Católica del Perú
(2010)
Keywords: Nonlinearities, Asymmetries, STARModel, Markov-Switching Model, Plucking Model, Recession Times
A Comparative Note About Estimation of the Fractional Parameter under Additive Outliers,
Gabriel Rodríguez,
from Departamento de Economía - Pontificia Universidad Católica del Perú
(2013)
Keywords: Additive Outliers, ARFIMA Errors, semiparametric estimation.
Modeling Latin-American Stock Markets Volatility: Varying Probabilities and Mean Reversion in a Random Level Shifts Model,
Gabriel Rodríguez,
from Departamento de Economía - Pontificia Universidad Católica del Perú
(2015)
Keywords: Random Level Shifts Model, Volatility, Long Memory, GARCH, Latin-American Stock Markets, Varying Probabilities, Mean Reversion, Forecasting, Larga Memoria, Mercados Bursátiles de América Latina, modelo con Cambios de Nivel Aleatorios, Predicción, Probabilidades Variantes, Reversión a la Media, Volatilidad
Modeling Latin-American Stock and Forex Markets Volatility: Empirical Application of a Model with Random Level Shifts and Genuine Long Memory [Modelando la volatilidad de los mercados bursátiles y cambiarios en América Latina: Aplicación empírica de un modelo de cambios de nivel aleatorios y larga memoria genuina],
Gabriel Rodríguez,
from Departamento de Economía - Pontificia Universidad Católica del Perú
(2016)
Keywords: ARFIMA Models , GARCH Effects , Latin-America , Long memory , Random Level Shifts , Stock Markets , Volatility
Application of Three Alternative Approaches to Identify Business Cycles in Peru,
Gabriel Rodríguez,
from Banco Central de Reserva del Perú
(2007)
Keywords: Asymmetries, Business Regional Fluctuations, Markov Switching, Transitory and Permanent Components
Efficiency of the Monetary Policy and Stability of Central Bank Preferences. Empirical Evidence for Peru,
Gabriel Rodríguez,
from Banco Central de Reserva del Perú
(2007)
Keywords: Interest Rate Rule, Structural Breaks, Inflation Target-ing, Output Gap, Preferences, Macroeconomic Shocks
Using A Forward-Looking Phillips Curve to Estimate the Output Gap in Peru,
Gabriel Rodríguez,
from Banco Central de Reserva del Perú
(2009)
Keywords: Business Cycles, Phillips Curve, Output Gap, Inflation, Unemployment, Filters
Estimating Output Gap, Core Inflation, and the NAIRU for Peru,
Gabriel Rodríguez,
from Banco Central de Reserva del Perú
(2009)
Keywords: Potential Output, Core Inflation, NAIRU, Latent Variables, Investment
Movilidad en los mercados laborales del Perú: 2007-2011,
Jose Rodriguez and Gabriel Rodríguez,
from Fondo Editorial - Pontificia Universidad Católica del Perú
(2012)
Keywords: empleo, protección social
Explaining the Transition Probabilities in the Peruvian Labor Market,
Jose Rodriguez and Gabriel Rodríguez,
from Departamento de Economía - Pontificia Universidad Católica del Perú
(2012)
Keywords: Markovian transition probabilities, Peruvian labor markets logit models, employment.
Registered author: John Gabriel Rodriguez Vasquez
Underlying Core Inflation with Multiple Regimes,
Gabriel Rodriguez-Rondon,
from arXiv.org
(2024)
Digging for Trouble? Uncovering the Link Between Mining Booms and Crime,
Gabriel Rodríguez-Puello,
from Center for Open Science
(2024)
Registered author: Juan Gabriel Rodríguez
Registered author: Gabriel Rodríguez-Puello
Some stylized facts of return in the foreign exchange and stock markets in Peru,
Alberto Humala and Gabriel Rodríguez,
in Studies in Economics and Finance
(2013)
Keywords: Peru, Stock markets, Returns, Foreign exchange, Non‐normality distribution, Stock market return, Foreign market returns
Residuals‐based tests for cointegration with generalized least‐squares detrended data,
Pierre Perron and Gabriel Rodríguez,
in Econometrics Journal
(2016)
Asymmetries in Volatility: An Empirical Study for the Peruvian Stock and Forex Markets,
Willy Alanya and Gabriel Rodríguez,
in Review of Pacific Basin Financial Markets and Policies (RPBFMP)
(2019)
Keywords: Asymmetries, EGARCH, stochastic volatility, stock returns, Forex returns, Bayesian estimation, Normal errors, t-Student’s errors
Indirect patent citations,
Gamal Atallah and Gabriel Rodríguez,
in Scientometrics
(2006)
Why U.S. Money does not Cause U.S. Output, but does Cause Hong Kong Output,
Gabriel Rodríguez and Nicholas Rowe,
from Carleton University, Department of Economics
(2007)
Keywords: Monetary Policy, Causality, VECM, U.S. Money, U.S. Federal Funds Rate
Why U.S. money does not cause U.S. output, but does cause Hong Kong output,
Gabriel Rodríguez and Nicholas Rowe,
in Journal of International Money and Finance
(2007)
Residual Based Tests for Cointegration with GLS Detrended Data,
Pierre Perron and Gabriel Rodríguez,
from University of Ottawa, Department of Economics
(2000)
Keywords: ECONOMETRICS ; ECONOMIC MODELS
Seraching for Additive Outliers in Nonstationary Time Series,
Pierre Perron and Gabriel Rodríguez,
from University of Ottawa, Department of Economics
(2000)
Keywords: ECONOMETRICS ; ECONOMIC MODELS
Analyzing the Effects of Labor Standards on U.S. Export Performance: A Time Series Approach With Structural Change,
Gabriel Rodríguez and Yiagadeesen Samy,
from University of Ottawa, Department of Economics
(2001)
Keywords: Exports, Labor Standards, Stationarity, Structural Change, Unit Roots
Why U.S. Money does not Cause U.S. Output, but does Cause Hong Kong Output,
Gabriel Rodríguez and Nicholas Rowe,
from University of Ottawa, Department of Economics
(2002)
Keywords: Monetary Policy, Causality, VECM, U.S. Money, U.S. Federal Funds Rate.
Indirect Patent Citations,
Gamal Atallah and Gabriel Rodríguez,
from University of Ottawa, Department of Economics
(2003)
Keywords: Patents, Patent citations, Patent quality
Evaluating Time Series Models in Short and Long-Term Forecasting of Canadian Air Passenger Data,
Emir Emiray and Gabriel Rodríguez,
from University of Ottawa, Department of Economics
(2003)
Keywords: Forecasts, Seasonal Unit Roots, ARIMA Models, Periodic Autoregressive Models, Structural Time Series Model
Human Activities and Global Warming: A Cointegration Analysis,
Hui Liu and Gabriel Rodríguez,
from University of Ottawa, Department of Economics
(2003)
Keywords: Global Warming, Radiative Forcing, Cointegration, I(1) and I(2) Processes, Unit Roots.
Identifying Permanent and Transitory Components in Latin-American Real Exchange Rates,
Indira Romero and Gabriel Rodríguez,
from University of Ottawa, Department of Economics
(2003)
Keywords: Real Exchange Rates, Gibbs-Sampling, Permanent and Transitory Components, Low and High variance Regimes.
Unit Root Tests and Structural Change when the Initial Observation is Drawn from its unconditional Distribution,
Hui Liu and Gabriel Rodríguez,
from University of Ottawa, Department of Economics
(2006)
Keywords: Initial Condition, Feasible Optimal Point Test, GLS Detrending, Power Envelope, Unit Root, Structural Change
Using Markov-Switching Models to Identify the Link between Unemployment and Criminality,
Firouz Fallahi and Gabriel Rodríguez,
from University of Ottawa, Department of Economics
(2007)
Keywords: Markov-Switching Models, Cycles, Asymmetries, Unemployment, Crime.
Selecting the Lag Length for the M GLS Unit Root Tests with Structural Change: A Warning Note for Practitioners Based on Simulations,
Ricardo Quineche and Gabriel Rodríguez,
in Econometrics
(2017)
Keywords: unit root tests; structural change; truncation lag; GLS detrending; information criteria; sequential general to specific t-sig method
Human activities and global warming: a cointegration analysis,
Hui Liu and Gabriel Rodríguez,
from University Library of Munich, Germany
(2005)
Keywords: Global warming; Radiative forcing; Cointegration; I(1) process; I(2) process; Unit roots
Trend-cycle decomposition for Peruvian GDP: application of an alternative method,
Ángel Guillén and Gabriel Rodríguez,
in Latin American Economic Review
(2014)
Keywords: Trend, Cycle, Mixture of Normals, Asymmetries, Non-linearities, Recessions, Filters, C22, E32,
Time changing effects of external shocks on macroeconomic fluctuations in Peru: empirical application using regime-switching VAR models with stochastic volatility,
Paulo Chávez and Gabriel Rodríguez,
in Review of World Economics (Weltwirtschaftliches Archiv)
(2023)
Keywords: External shocks, Macroeconomic fluctuations, Regime-switching autoregressive vectors, Stochastic volatility, Model comparison, Peruvian economy
Finite sample effects of additive outliers on the Granger-causality test with an application to money growth and inflation in Peru,
Thierno Balde and Gabriel Rodríguez,
in Applied Economics Letters
(2005)
Foreign exchange intervention and exchange rate volatility in Peru,
Alberto Humala and Gabriel Rodríguez,
in Applied Economics Letters
(2010)
Analysing the effects of labour standards on US export performance. A time series approach with structural change,
Gabriel Rodríguez and Yiagadeesen Samy,
in Applied Economics
(2003)
The role of permanent and transitory components in the fluctuations of Latin-American real exchange rates,
Gabriel Rodríguez and Indira Romero,
in Applied Economics
(2007)
Descomposición histórica de la inflación en Perú. Distinguiendo entre choques de demanda y choques de oferta,
Guillermo Lavanda and Gabriel Rodríguez,
in Revista Economía
(2011)
Keywords: inflación, VAR estructural, descomposición de largo plazo, choques de demanda y oferta, descomposición de varianza, descomposición histórica
GLS para eliminar los componentes determinísticos, estadísticos de raíz unitaria eficientes y cambio estructural,
Pierre Perron and Gabriel Rodríguez,
in Revista Economía
(2012)
Keywords: integrated process; quasi-differencing; change-point; truncation lag; information criteria
Impacto de expectativas políticas en los retornos del Índice General de la Bolsa de Valores de Lima,
Gabriel Rodríguez and Alfredo Vargas,
in Revista Economía
(2012)
Keywords: expectativas políticas, entropía, elecciones políticas, retornos, IGBVL.
Understanding the functional central limit theorems with some applications to unit root testing with structural change,
Juan Aquino and Gabriel Rodríguez,
in Revista Economía
(2013)
Keywords: Unit root testing, structural break, functional central limit theorem, Ornstein-Uhlenbeck process.
A Note on the Size of the ADF Test with Additive Outliers and Fractional Errors. A Reappraisal about the (Non)Stationarity of the Latin-American Inflation Series,
Gabriel Rodríguez and Dionisio Ramirez,
in Revista Economía
(2014)
Keywords: additive outliers, ARFIMA erros, ADF Test
SEARCHING FOR ADDITIVE OUTLIERS IN NONSTATIONARY TIME SERIES,
Pierre Perron and Gabriel Rodríguez,
in Journal of Time Series Analysis
(2003)
Structural Breaks and Convergence in the Regions of Peru: 1970–2010,
Augusto Delgado and Gabriel Rodríguez,
in Review of Development Economics
(2015)
Intervención en el mercado cambiario y volatilidad del tipo de cambio en el Perú,
Alberto Humala and Gabriel Rodríguez,
in Monetaria
(2009)
Unit root tests and structural change when the initial observation is drawn from its unconditional distribution,
Hui Liu and Gabriel Rodríguez,
in Econometrics Journal
(2006)
The role of credit supply shocks in pacific alliance countries: A TVP-VAR-SV approach,
Carlos Guevara and Gabriel Rodríguez,
in The North American Journal of Economics and Finance
(2020)
Keywords: Loan supply shocks; Time-varying parameter VAR with stochastic volatility; Sign restrictions; Impulse-response function; Historical decomposition; Business cycles; Pacific alliance bloc; Chile; Peru; Mexico; Colombia; C32; E32; E51;
Empirical modeling of high-income and emerging stock and Forex market return volatility using Markov-switching GARCH models,
Miguel Ataurima and Gabriel Rodríguez,
in The North American Journal of Economics and Finance
(2020)
Keywords: MS-GARCH models; GARCH models; Returns; Volatility; Latin American countries; High-income countries; Stock; Forex;
GLS detrending, efficient unit root tests and structural change,
Pierre Perron and Gabriel Rodríguez,
in Journal of Econometrics
(2003)
Structural breaks and labor market disparities in the Canadian provinces,
Firouz Fallahi and Gabriel Rodríguez,
in Journal of Economic Studies
(2015)
Keywords: Unemployment, Stochastic convergence, β-convergence, Structural breaks, Unit roots
Single-equation tests for Cointegration with GLS Detrended Data,
Gabriel Rodríguez and Pierre Perron,
from Boston University - Department of Economics
(2013)
Keywords: Cointegration, Residual-Based Unit Root Tests, ECR Tests, OLS and GLS Detrended Data, Hypothesis Testing.
GLS Detrending, Efficient Unit Root Tests and Structural Change,
Pierre Perron and Gabriel Rodríguez,
from Universite de Montreal, Departement de sciences economiques
(1998)
Keywords: unit root test, GLS detrending, structural change, truncation lag, information criteria
Comportamiento de las Tasas de desempleo regionales en España,
Gabriel Rodríguez and Dionisio Ramirez,
from Otras editoriales / Other publishers
(2011)
Keywords: Desempleo, España, Reporte
Descomposición Histórica de la Inflación en Perú. Distinguiendo entre choques de demanda y choques de oferta,
Guillermo Lavanda and Gabriel Rodríguez,
from Departamento de Economía - Pontificia Universidad Católica del Perú
(2010)
Keywords: Inflation, Structural VAR, Long-Run Decomposition, Shocks of Aggregate Demand and Aggregate Supply, Variance Decomposition, Historical Decomposition.
Persistence of unemployment in the canadian provinces,
Firouz Fallahi and Gabriel Rodríguez,
from Departamento de Economía - Pontificia Universidad Católica del Perú
(2010)
Keywords: Persistence, Unemployment, Unit Root, Break Dates, Canadian Provinces.
Is there a link between unemployment and criminality in the us economy? Further evidence,
Firouz Fallahi and Gabriel Rodríguez,
from Departamento de Economía - Pontificia Universidad Católica del Perú
(2010)
Keywords: Markov-Switching Models, Cycles, Unemployment, Crime.
A FACTORIAL DECOMPOSITION OF INFLATION IN PERU, AN ALTERNATIVE MEASURE OF CORE INFLATION,
Alberto Humala and Gabriel Rodríguez,
from Departamento de Economía - Pontificia Universidad Católica del Perú
(2011)
Keywords: Factoral Decomposition / Pure Inflation / Core Inflation / Price Changes
ESTIMATION OF A TIME VARYING NATURAL INTEREST RATE FOR PERU,
Alberto Humala and Gabriel Rodríguez,
from Departamento de Economía - Pontificia Universidad Católica del Perú
(2011)
Keywords: Interest Rate / Natural Interest Rate / Kalman Filter / Output Gap / Unobserved Components.
UNDERSTANDING THE FUNCTIONAL CENTRAL LIMIT THEOREMS WITH SOME APPLICATIONS TO UNIT ROOT TESTING WITH STRUCTURAL CHANGE,
Juan Aquino and Gabriel Rodríguez,
from Departamento de Economía - Pontificia Universidad Católica del Perú
(2011)
Keywords: Hypothesis Testing, Unit Root, Structural Break, Functional Central Limit Theorem, Weak Convergence, Wiener Process, Ornstein-Uhlenbeck Process
CONVERGENCE IN THE CANADIAN PROVINCES: EVIDENCE USING UNEMPLOYMENT RATES,
Firouz Fallahi and Gabriel Rodríguez,
from Departamento de Economía - Pontificia Universidad Católica del Perú
(2011)
Keywords: Stochastic convergence, -convergence, unit roots, structural breaks,unemployment.
Impacto de Expectativas Políticas en los Retornos del Indice General de la Bolsa de Valores de Lima,
Gabriel Rodríguez and Alfredo Vargas,
from Departamento de Economía - Pontificia Universidad Católica del Perú
(2011)
Keywords: Expectativas Políticas, Entropía, Elecciones Políticas, Retornos, IGBVL
Some Stylized Facts of Returns in the Foreign Exchange and Stock Markets in Peru,
Alberto Humala and Gabriel Rodríguez,
from Departamento de Economía - Pontificia Universidad Católica del Perú
(2011)
Keywords: Non-Normal Distributions, Stock Market Returns, Foreign Exchage, Market Returns
EXPLAINING THE DETERMINANTS OF THE FREQUENCY OF EXCHANGE RATE INTERVENTIONS IN PERU USING COUNT MODELS,
Edgar Ventura and Gabriel Rodríguez,
from Departamento de Economía - Pontificia Universidad Católica del Perú
(2012)
Keywords: Intervención Cambiaria, Frecuencia de Intervención, Modelos de Conteo, Tipo de Cambio, Spread de Tasas de Interés.
Residual test for cointegration with GLS detrended data,
Pierre Perron and Gabriel Rodríguez,
from Departamento de Economía - Pontificia Universidad Católica del Perú
(2012)
Keywords: Cointegration, Residual-Based Unit Root Test, ECR Test, OLS and GLS Detrented Data, Hypothesis Testing
Trend-cycle decomposition for Peruvian GDP: Application of an alternative method,
Ángel Guillén and Gabriel Rodríguez,
from Departamento de Economía - Pontificia Universidad Católica del Perú
(2013)
Keywords: Trend, Cycle, Mixture of Normals, Asymmetries, Non Linearities, Recessions, Filters.
Do Labor Reforms in Spain have an Effect on the Equilibrium Unemployment Rate?,
Dionisio Ramirez and Gabriel Rodríguez,
from Departamento de Economía - Pontificia Universidad Católica del Perú
(2013)
Keywords: Unemployment Rate, NAIRU, Unit Roots, Structural Change, Labor Reform.
Growth of the Peruvian Economy and Convergence in the Regions of Peru: 1970-2010,
Augusto Delgado and Gabriel Rodríguez,
from Departamento de Economía - Pontificia Universidad Católica del Perú
(2013)
A Note on the Size of the ADF Test with Additive Outliers and Fractional Errors. A Reapraisal about the (Non) Stationarity of the Latin-American Inflation Series,
Gabriel Rodríguez and Dionisio Ramirez,
from Departamento de Economía - Pontificia Universidad Católica del Perú
(2013)
Keywords: Additive Outliers, ARFIMA Errors, ADF test
A comparison between Tau-d and the procedure TRAMO-SEATS is also included,
Gabriel Rodríguez and Dionisio Ramirez,
from Departamento de Economía - Pontificia Universidad Católica del Perú
(2013)
Keywords: Additive Outliers, ARFIMA Errors, Detection of Additive Out-liers.
An Application of a Random Level Shifts Model to the Volatility of Peruvian Stock and Exchange Rates Returns,
Junior Ojeda and Gabriel Rodríguez,
from Departamento de Economía - Pontificia Universidad Católica del Perú
(2014)
Keywords: Returns, Volatility, Long Memory, Random Level Shifts, Kalman Filter, Forecasting
An Application of a Short Memory Model With Random Level Shifts to the Volatility of Latin American Stock Market Returns,
Gabriel Rodríguez and Roxana Tramontana,
from Departamento de Economía - Pontificia Universidad Católica del Perú
(2014)
Keywords: Returns, Volatility, Long Memory, Random Level Shifts, Kalman Filter, Forecasting, Latin America
Driving Economic Fluctuations in Peru: The Role of the Terms of Trade,
Gabriel Rodríguez and Pierina Villanueva,
from Departamento de Economía - Pontificia Universidad Católica del Perú
(2014)
Keywords: Fluctuations, Output, Consumption, Private Investment, Public Investment, Terms of Trade, Permanent and Transitory Shocks, Domestic and Foreign Shocks, Developing Small Open Economy, Common Trends, Cointegration.
Convergencia en las Regiones del Perú: ¿Inclusión o Exclusión en el Crecimiento de la Economía Peruana (1970-2010)?,
Augusto Delgado and Gabriel Rodríguez,
from Departamento de Economía - Pontificia Universidad Católica del Perú
(2014)
Keywords: Convergencia, Inclusión, Clubes de Convergencia, PBI per cápita, Peru
Stochastic Volatility in Peruvian Stock Market and Exchange Rate Returns: a Bayesian Approximation,
Willy Alanya and Gabriel Rodríguez,
from Departamento de Economía - Pontificia Universidad Católica del Perú
(2014)
Keywords: Modelo de Volatilidad Estocástica, Estimación Bayesiana, Gibbs Sampler, Mixture Sampler, Integration Sampler, Mercado Bursátil, Mercado Cambiario, Modelos GARCH, Perú.
Volatility of Stock Market and Exchange Rate Returns in Peru: Long Memory or Short Memory with Level Shifts?,
Andres Herrera and Gabriel Rodríguez,
from Departamento de Economía - Pontificia Universidad Católica del Perú
(2014)
Keywords: Structural Change, Jumps, Long Memory Processes, Fractional Integration, Frequency Domain Estimates, Random Level Shifts, Stock Market and Forex Rate Volatilities in Peru.
Data-Dependent Methods for the Lag Length Selection in Unit Root Tests with Structural Change,
Ricardo Quineche and Gabriel Rodríguez,
from Departamento de Economía - Pontificia Universidad Católica del Perú
(2015)
Keywords: Unit Root Tests, Structural Change, Truncation Lag, GLS Detrending, Information Criteria, Sequential General to SpeciÖc t-sig Method.
Asymmetries in Volatility: An Empirical Study for the Peruvian Stock and Forex Markets,
Gabriel Rodríguez and Willy Alanya,
from Departamento de Economía - Pontificia Universidad Católica del Perú
(2016)
Keywords: Asymmetries , Bayesian Estimation , EGARCH , Forex Re- turns , GARCH , Stochastic Volatility , Stock Returns
The Role of Loan Supply Shocks in Pacific Alliance Countries: A TVP-VAR-SV Approach,
Gabriel Rodríguez and Carlos Guevara,
from Departamento de Economía - Pontificia Universidad Católica del Perú
(2018)
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