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Dynamic conditional correlation in Latin-American asset markets

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  • Constanza Martínez
  • Manuel Ramirez

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.

Suggested Citation

  • Constanza Martínez & Manuel Ramirez, 2011. "Dynamic conditional correlation in Latin-American asset markets," Documentos de Trabajo 8907, Universidad del Rosario.
    • Handle: RePEc:col:000092:008907
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    File URL: http://repository.urosario.edu.co/bitstream/handle/10336/11018/8907.pdf
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    Cited by:

    1. Majdoub, Jihed & Mansour, Walid, 2014. "Islamic equity market integration and volatility spillover between emerging and US stock markets," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 452-470.
    2. Waqar Haider Hashmi & Nazima Ellahi & Saima Ehsan & Ajmal Waheed, 2021. "Transmission Of Contemporaneous Shocks From The World To Emerging Islamic Equity Markets: An Application Of Geweke Measure," Bulletin of Business and Economics (BBE), Research Foundation for Humanity (RFH), vol. 10(4), pages 44-55, December.

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