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Latin american exchange rate dependencies : a regular vine copula approach

Rubén Albeiro
Loaiza-Maya
José Eduardo
Gómez-González
Luis Fernando
Melo-Velandia
Miércoles, 1 Agosto 2012

This study implements a regular vine copula methodology to evaluate the level of contagion among the exchange rates of six Latin American countries (Argentina, Brazil, Chile, Colombia, Mexico and Peru) from June 2005 to April 2012. We measure contagion in