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...

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Detalles Bibliográficos
Autores Principales: Martinez Ventura, Ana Constanza, Ramírez Gómez, Manuel
Formato: Documento de trabajo (Working Paper)
Lenguaje:Inglés (English)
Publicado: Universidad del Rosario 2011
Acceso en línea:http://repository.urosario.edu.co/handle/10336/11018