Dynamic conditional correlation in Latin-American asset markets
AbstractABSTRACT: In this paper we reviewed the models of volatility for a group of five Latin American countries, mainly motivated by the recent periods of financial turbulence. Our results based on high frequency data suggest that Dynamic multivariate models are more powerful to study the volatilities of asset returns than Constant Conditional Correlation models. For the group of countries included, we identified that domestic volatilities of asset markets have been increasing; but the co-volatility of the region is still moderate.
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Bibliographic InfoPaper provided by UNIVERSIDAD DEL ROSARIO in its series DOCUMENTOS DE TRABAJO with number 008907.
Date of creation: 21 Aug 2011
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This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-09-05 (All new papers)
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