Estimating the COP exchange rate volatility smile and the market effect of central bank interventions: a CHARN approach

In this paper we estimated a volatility model for COP/US under two different samples, one containing the information before the “discretional interventions” started, and the other using the whole sample. We use a nonparametric approach to estimate the mea

Detalles Bibliográficos
Autores Principales: Julio-Román, Juan Manuel, Rodríguez-Niño, Norberto, Zárate-Solano, Hector Manuel
Formato: Documento de trabajo (Working Paper)
Lenguaje:Español (Spanish)
Publicado: Banco de la República 2005
Materias:
Acceso en línea:http://repositorio.banrep.gov.co/handle/20.500.12134/5365