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Estimating the COP Exchange Rate Volatility Smile and the Market Effect of Central Bank Interventions: A CHARN Approach

Juan Manuel
Julio-Román
Norberto
Rodríguez-Niño
Hector Manuel
Zárate-Solano
Lunes, 1 Agosto 2005

In this paper we estimated a volatility model for COP/US under two different samples, one containing the information before the “discretional interventions” started, and the other using the whole sample. We use a nonparametric approach to estimate the mea