Ítem
Acceso Abierto
Dynamic conditional correlation in Latin-American asset markets
dc.creator | Martinez Ventura, Ana Constanza | |
dc.creator | Ramírez Gómez, Manuel | |
dc.date.accessioned | 2015-10-14T14:57:27Z | |
dc.date.available | 2015-10-14T14:57:27Z | |
dc.date.created | 2011 | |
dc.date.issued | 2011 | |
dc.description.abstract | 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. | eng |
dc.format.extent | 12 páginas | spa |
dc.format.medium | Recurso electrónico | spa |
dc.format.mimetype | application/pdf | |
dc.format.tipo | Documento | spa |
dc.identifier.doi | https://doi.org/10.48713/10336_11018 | |
dc.identifier.editorial | Universidad del Rosario | spa |
dc.identifier.uri | http://repository.urosario.edu.co/handle/10336/11018 | |
dc.language.iso | eng | |
dc.publisher | Universidad del Rosario | spa |
dc.publisher.department | Facultad de Economía | spa |
dc.relation.citationIssue | No. 107 | |
dc.relation.citationTitle | Serie Documentos de trabajo. Economía | |
dc.relation.ispartof | Serie documentos de trabajo. No 107 (Agosto 2011) | spa |
dc.relation.uri | https://ideas.repec.org/p/col/000092/008907.html | |
dc.rights.accesRights | info:eu-repo/semantics/openAccess | |
dc.rights.acceso | Abierto (Texto completo) | spa |
dc.rights.cc | Atribución-NoComercial-SinDerivadas 2.5 Colombia | spa |
dc.source.instname | instname:Universidad del Rosario | spa |
dc.source.instname | instname:Universidad del Rosario | spa |
dc.source.reponame | reponame:Repositorio Institucional EdocUR | spa |
dc.subject.ddc | Economía financiera | |
dc.subject.lemb | Economía | spa |
dc.subject.lemb | Mercado de capitales | spa |
dc.subject.lemb | Crisis financiera | spa |
dc.subject.lemb | Volatilidad::Aspectos Económicos | spa |
dc.subject.lemb | América latina::Condiciones Económicas | spa |
dc.title | Dynamic conditional correlation in Latin-American asset markets | spa |
dc.type | workingPaper | eng |
dc.type.hasVersion | info:eu-repo/semantics/acceptedVersion | |
dc.type.spa | Documento de trabajo | spa |