Juliana Caicedo-Llano

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We build a prediction model for a set of Emerging Markets and the US market and we evaluate its ability to forecast equity risk premia. Our models include traditional global and local variables as the dividend yield or a credit spread and we include some variables that has been rarely been used as predictor of emerging equity returns: the implied volatility(More)
Financial time series usually exhibit non-stationarity and time-varying volatility. Extraction and analysis of complicated patterns, such as trends and transient changes, are at the core of modern financial data analytics. Furthermore, efficient and timely analysis is often hindered by large volumes of raw data, which are supplied and stored nowadays. In(More)
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