Open AccessAnalysis of the leverage effect on the IPC returns by means of a Markov Chain Monte Carlo before, during and after the subprime crisis
Author(s) -
Ignacio Francisco Hernández Ángeles,
Francisco López Herrera,
Luis Fernando Hoyos Reyes
Publication year - 2015
Publication title -
estocástica finanzas y riesgo (en línea)/estocástica finanzas y riesgo
Language(s) - English
Resource type - Journals
eISSN - 2007-5383
pISSN - 2007-5375
DOI - 10.24275/uam/azc/dcsh/efr/2015v5n1/hernandez
Subject(s) - leverage effect , markov chain monte carlo , volatility (finance) , subprime crisis , stochastic volatility , economics , markov chain , econometrics , leverage (statistics) , financial crisis , monte carlo method , forward volatility , financial economics , autoregressive conditional heteroskedasticity , mathematics , statistics , keynesian economics