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Dynamic conditional correlation in Latin-American asset markets

  • Constanza Martínez

    ()

  • Manuel Ramirez

    ()

ABSTRACT: 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 ofcountries included, we identified that domestic volatilities of asset marketshave been increasing; but the co-volatility of the region is still moderate.

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Paper provided by UNIVERSIDAD DEL ROSARIO in its series DOCUMENTOS DE TRABAJO with number 008907.

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Length: 13
Date of creation: 21 Aug 2011
Date of revision:
Handle: RePEc:col:000092:008907
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