Rojas, Omar
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Preferred name
Rojas, Omar
Official Name
Rojas Altamirano, Omar Guillermo
Alternative Name
orojas
Main Affiliation
ORCID
Scopus Author ID
22954196800
Researcher ID
K-1066-2013

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A study of co-movements between U.S. and Latin American stock markets: A cross-bicorrelations perspective

2016 , Semei Coronado-Ramirez , Rojas, Omar , Rafael Romero-Meza , Francisco Venegas-Martínez

<p>This work applies a test that detects dependence between pairs of variables. The kind of dependence is a non-linear one, and the test is known as cross-bicorrelation, which is associated with Brooks and Hinich [1]. We study dependence periods between U.S. Standard and Poor's 500 (SP500), used as a benchmark, and six Latin American stock market indexes: Mexico (BMV), Brazil (BOVESPA), Chile (IPSA), Colombia (COLCAP), Peru (IGBVL) and Argentina (MERVAL). We have found windows of nonlinear dependence and comovement between the SP500 and the Latin American stock markets, some of which coincide with periods of crisis, leading to an interpretation of a possible contagion or interdependence.</p>

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Time-Varying Granger Causality of COVID-19 News on Emerging Financial Markets: The Latin American Case

2023 , Semei Coronado , Jose N. Martinez , Victor Gualajara , Rafael Romero-Meza , Rojas, Omar

This study uses daily COVID-19 news series to determine their impact on financial market volatility. This paper assesses whether U.S. financial markets react differently to COVID-19 news than emerging markets and if such markets are impacted differently by country-specific and global news. To detect the spillover effects from news on market volatility, a time-varying DCC-GARCH model was applied. The results suggest that the U.S. and emerging markets are affected differently by pandemic news, global series have a stronger impact on emerging markets than country-specific ones, and misleading information plays a significant role in financial market volatility, especially for the U.S.

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A Bayesian approach to model changes in volatility in the Mexican stock exchange index

2017 , Gustavo Cabrera , Semei Coronado , Rojas, Omar , Rafael Romero-Meza

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Crude Oil and Biofuel Agricultural Commodity Prices

2018 , Semei Coronado , Rojas, Omar , Rafael Romero-Meza , Apostolos Serletis , Leslie Verteramo Chiu

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