Dynamic conditional correlation in Latin-American asset markets

Constanza Martínez and Manuel Ramirez

No 8907, Documentos de Trabajo from Universidad del Rosario

Abstract: 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 ofcountries included, we identified that domestic volatilities of asset marketshave been increasing; but the co-volatility of the region is still moderate.

Pages: 13
Date: 2011-08-21
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:col:000092:008907

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