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
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Dynamic conditional correlation in Latin-American asset marketsEconomía financieraEconomíaMercado de capitalesCrisis financieraVolatilidad::Aspectos EconómicosAmérica latina::Condiciones EconómicasIn 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.Universidad del RosarioFacultad de Economía20112015-10-14T14:57:27Zinfo:eu-repo/semantics/workingPaperhttp://purl.org/coar/resource_type/c_804212 páginasRecurso electrónicoapplication/pdfDocumentohttps://doi.org/10.48713/10336_11018 Universidad del Rosariohttp://repository.urosario.edu.co/handle/10336/11018instname:Universidad del Rosarioinstname:Universidad del Rosarioreponame:Repositorio Institucional EdocURenghttps://ideas.repec.org/p/col/000092/008907.htmlhttp://purl.org/coar/access_right/c_abf2Martinez Ventura, Ana ConstanzaRamírez Gómez, Manueloai:repository.urosario.edu.co:10336/110182021-06-03T00:46:38Z |
| dc.title.none.fl_str_mv |
Dynamic conditional correlation in Latin-American asset markets |
| title |
Dynamic conditional correlation in Latin-American asset markets |
| spellingShingle |
Dynamic conditional correlation in Latin-American asset markets Economía financiera Economía Mercado de capitales Crisis financiera Volatilidad::Aspectos Económicos América latina::Condiciones Económicas |
| title_short |
Dynamic conditional correlation in Latin-American asset markets |
| title_full |
Dynamic conditional correlation in Latin-American asset markets |
| title_fullStr |
Dynamic conditional correlation in Latin-American asset markets |
| title_full_unstemmed |
Dynamic conditional correlation in Latin-American asset markets |
| title_sort |
Dynamic conditional correlation in Latin-American asset markets |
| dc.subject.none.fl_str_mv |
Economía financiera Economía Mercado de capitales Crisis financiera Volatilidad::Aspectos Económicos América latina::Condiciones Económicas |
| topic |
Economía financiera Economía Mercado de capitales Crisis financiera Volatilidad::Aspectos Económicos América latina::Condiciones Económicas |
| description |
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. |
| publishDate |
2011 |
| dc.date.none.fl_str_mv |
2011 2015-10-14T14:57:27Z |
| dc.type.none.fl_str_mv |
info:eu-repo/semantics/workingPaper |
| dc.type.coar.fl_str_mv |
http://purl.org/coar/resource_type/c_8042 |
| dc.identifier.none.fl_str_mv |
https://doi.org/10.48713/10336_11018 Universidad del Rosario http://repository.urosario.edu.co/handle/10336/11018 |
| url |
https://doi.org/10.48713/10336_11018 http://repository.urosario.edu.co/handle/10336/11018 |
| identifier_str_mv |
Universidad del Rosario |
| dc.language.none.fl_str_mv |
eng |
| language |
eng |
| dc.relation.none.fl_str_mv |
https://ideas.repec.org/p/col/000092/008907.html |
| dc.rights.coar.fl_str_mv |
http://purl.org/coar/access_right/c_abf2 |
| rights_invalid_str_mv |
http://purl.org/coar/access_right/c_abf2 |
| dc.format.none.fl_str_mv |
12 páginas Recurso electrónico application/pdf Documento |
| dc.publisher.none.fl_str_mv |
Universidad del Rosario Facultad de Economía |
| publisher.none.fl_str_mv |
Universidad del Rosario Facultad de Economía |
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instname:Universidad del Rosario instname:Universidad del Rosario reponame:Repositorio Institucional EdocUR |
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Universidad del Rosario |
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Universidad del Rosario |
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Repositorio Institucional EdocUR |
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Repositorio Institucional EdocUR |
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1803710395068710912 |