English, Article edition: Common volatility across Latin American foreign exchange markets Isabel Ruiz

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Bookmark: http://trove.nla.gov.au/version/50162
Physical Description
  • article
Language
  • English

Edition details

Title
  • Common volatility across Latin American foreign exchange markets
Author
  • Isabel Ruiz
Physical Description
  • article
Notes
  • This article uses high-frequency exchange rate data for a group of 13 Latin American countries in order to analyse volatility co-movements. Particular interest is posed on understanding the existence of a common volatility process during the 1995-2008 period. The analysis relies on bivariate common factor models. We test for second-order common features using the common autoregressive conditional heteroskedasticity-feature methodology developed by Engle and Kozicki (1993). Overall, the results of this article indicate that while most currencies display evidence of time-varying variance, the volatility movements in the Latin American foreign exchange markets seems to be mainly country specific. Common volatility processes seem to be present only for a few South American markets.
  • RePEc:taf:apfiec:v:19:y:2009:i:15:p:1197-1211
Language
  • English
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