Latin american exchange rate dependencies : a regular vine copula approach

This study implements a regular vine copula methodology to evaluate the level of contagion among the exchange rates of six Latin American countries (Argentina, Brazil, Chile, Colombia, Mexico and Peru) from June 2005 to April 2012. We measure contagion in

Detalles Bibliográficos
Autores Principales: Loaiza-Maya, Rubén Albeiro, Gómez-González, José Eduardo, Melo-Velandia, Luis Fernando
Formato: Documento de trabajo (Working Paper)
Lenguaje:Español (Spanish)
Publicado: Banco de la República 2012
Materias:
Acceso en línea:http://repositorio.banrep.gov.co/handle/20.500.12134/5774