Estimating the COP exchange rate volatility smile and the market effect of central bank interventions: a CHARN approach

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Borradores de Economía; No. 347

Date published

2005-08-20

Date

2005-08-20

Authors

Julio-Román, Juan Manuel
Rodríguez-Niño, Norberto
Zárate-Solano, Hector Manuel

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ISBN

Document language

spa
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The opinions contained in this document are the sole responsibility of the author and do not commit Banco de la República or its Board of Directors.

Abstract

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

Description

JEL Codes

C22 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion processes

Temática

Keywords

Keywords

Volatility smile , Exchange rate risk , Nonparametric estimation , Central bank intervention

Citation

URI

https://repositorio.banrep.gov.co/handle/20.500.12134/5365
 https://hdl.handle.net/20.500.12134/5365
 https://ideas.repec.org/p/bdr/borrec/347.html
 https://doi.org/10.32468/be.347

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