Browsing by Author "Fernández Maturana, Viviana"
Now showing items 1-9 of 9
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(ELSEVIER, 2008-06-01)Copula modeling has become an increasingly popular tool in finance to model assets returns dependency. In essence, copulas enable us to extract the dependence structure from the joint distribution function of a set of ...
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(UNIVERSIDAD DEL CEMA, 2006-11)For a sample of six countries with dirty/free float regimes over 1999-2002-the United States, Japan, the Czech Republic, Poland, Switzerland, and the United Kingdom, we investigate whether paired currencies exhibit a pattern ...
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(Universidad de Chile, 2005)Santiago has been growing rapidly during the last decade and most of the new housing development within the consolidate area, around the periurban areas and even more in the periphery, just in the edge of the city, is ...
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(BERKELEY ELECTRONIC PRESS, 2005-11)In this article, we formulate a time-scale decomposition of an international version of the CAPM that accounts for both market and exchange rate risk. In addition, we derive an analytical formula for time-scale value at ...
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(M E SHARPE INC, 2005-05)This paper considers the existence of a bank lending channel in Chile. Toward that, we collect a data sample of nineteen banks that operated in Chile over January 1999-December 2002. In that period, banks primarily offered ...
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(2007)This paper analyzes the effect of recent political conflicts in the Middle East on stock markets worldwide. In particular it studies how political instability-mainly due to the war in Iraq-has affected the long-term ...
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(M E SHARPE INC, 2005-07)This paper focuses on return spillovers in stock markets at different time scales using wavelet analysis. We look at eight stock indices that comprise the G7 countries, emerging Asia, Western Europe, Eastern Europe and the ...
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(JOHN WILEY & SONS, 2008-11)This article applies two novel techniques to forecast the value of US manufacturing, shipments over the period 1956-2000: wavelets and support vector machines (SVM). Wavelets have become increasingly popular ill the fields ...
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(ACADEMIC PRESS INC ELSEVIER SCIENCE, 2003-10)There is considerable heterogeneity in the development of derivatives markets in different countries. The question is: why? This paper addresses this question in the context of major derivatives markets in Latin America. ...
