Interest-Rate Volatility in Emerging Markets

@article{Edwards2003InterestRateVI,
  title={Interest-Rate Volatility in Emerging Markets},
  author={S. Edwards and Raul Susmel},
  journal={Review of Economics and Statistics},
  year={2003},
  volume={85},
  pages={328-348}
}
We use high-frequency interest-rate data for a group of Latin American and Asian countries to analyze the behavior of volatility through time. We focus on volatility comovements across countries. Our analysis relies on univariate and bivariate switching volatility models. We compare the results from the switching models with those from rolling-standard-deviation models. We argue that the switching models are superior. Our results indicate that high-volatility episodes are, in general, short… Expand
Common volatility across Latin American foreign exchange markets
Volatility Dependence Across Asia-Pacific Onshore and Offshore Currency Forwards Markets
...
1
2
3
4
5
...

References

SHOWING 1-10 OF 41 REFERENCES
Volatility and Cross Correlation Across Major Stock Markets
Transmission of Volatility between Stock Markets
Modeling the Conditional Distribution of Interest Rates as a Regime-Switching Process
Autoregressive conditional heteroskedasticity and changes in regime
...
1
2
3
4
5
...