Número:
347
Publicado:
Clasificación JEL:
C14, C22, E58, F31, E44
Palabras clave:
Volatility Smile, Exchange Rate Risk, Nonparametric Estimation, Central bank intervention
Lo más reciente
Juan Sebastián Mariño-Montaña, Daniela Rodriguez-Novoa, Camilo Eduardo Sánchez-Quinto
Camilo Gómez, Mariana Escobar-Villarraga, Ligia Alba Melo-Becerra, Hector Manuel Zárate-Solano
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