Dynamic conditional correlation in Latin-American asset markets
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 retu...
- Autores:
- Tipo de recurso:
- Fecha de publicación:
- 2011
- Institución:
- Universidad del Rosario
- Repositorio:
- Repositorio EdocUR - U. Rosario
- Idioma:
- eng
- OAI Identifier:
- oai:repository.urosario.edu.co:10336/11018
- Acceso en línea:
- https://doi.org/10.48713/10336_11018
http://repository.urosario.edu.co/handle/10336/11018
- Palabra clave:
- Economía financiera
Economía
Mercado de capitales
Crisis financiera
Volatilidad::Aspectos Económicos
América latina::Condiciones Económicas
- Rights
- License
- http://purl.org/coar/access_right/c_abf2
| Summary: | 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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