Número:
347
Publicado:
Clasificación JEL:
C14, C22, E58, F31, E44
Palabras clave:
Volatility Smile, Exchange Rate Risk, Nonparametric Estimation, Central bank intervention
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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