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

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

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