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

Simple item page
dc.coverage.sucursalBogotáspa
dc.creatorJulio-Román, Juan Manuel
dc.creatorRodríguez-Niño, Norberto
dc.creatorZárate-Solano, Héctor Manuel
dc.creator.firmaJulio-Román, Juan Manuel
dc.date.accessioned2005-08-20T08:30:10Zeng
dc.date.available2005-08-20T08:30:10Z
dc.date.created2005-08-20
dc.date.issued2005-08-20
dc.description.abstractIn 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 meaeng
dc.format.mimetypePDFspa
dc.identifier.handlehttps://hdl.handle.net/20.500.12134/5365spa
dc.identifier.urihttps://repositorio.banrep.gov.co/handle/20.500.12134/5365
dc.language.isospaspa
dc.publisherBanco de la Repúblicaspa
dc.relation.doihttps://doi.org/10.32468/be.347spa
dc.relation.dotechttps://ideas.repec.org/p/col/000094/002605.htmlspa
dc.relation.ispartofDocumentos de Trabajospa
dc.relation.ispartofseriesBorradores de Economíaspa
dc.relation.isversionofBorradores de Economía; No. 347
dc.relation.numberBorrador 347spa
dc.relation.repechttps://ideas.repec.org/p/bdr/borrec/347.htmlspa
dc.rights.accessRightsOpen Accesseng
dc.rights.ccAtribucion-NoComercial-CompartirIgual CC BY-NC-SA 4.0eng
dc.rights.disclaimerLas opiniones contenidas en el presente documento son responsabilidad exclusiva de los autores y no comprometen al Banco de la República ni a su Junta Directiva.spa
dc.rights.spaAcceso abiertospa
dc.rights.urihttps://creativecommons.org/licenses/by-nc-sa/4.0/eng
dc.source.handleRepecRePEc:bdr:borrec:347spa
dc.subject.jelC14 - Semiparametric and Nonparametric Methods: Generaleng
dc.subject.jelspaF31 - Tipos de cambiospa
dc.subject.keywordVolatility smileeng
dc.subject.keywordExchange rate riskeng
dc.subject.keywordNonparametric estimationeng
dc.subject.keywordCentral bank interventioneng
dc.subject.lembTipos de cambio -- Intervención del estado -- Colombia -- 2004spa
dc.subject.lembCambio exterior -- Intervención del estado -- Colombia -- 2004spa
dc.subject.lembPolítica monetaria -- Colombia -- 2004spa
dc.titleEstimating the COP exchange rate volatility smile and the market effect of central bank interventions: a CHARN approachspa
dc.typeWorking Papereng
dc.type.hasversionPublished Versioneng
dc.type.spaDocumentos de trabajospa

Files

Original bundle
Now showing 1 - 5 of 17
Thumbnail Image
Name:
be_347.pdf
Size:
732.45 KB
Format:
Adobe Portable Document Format
FILE
https://repositorio.banrep.gov.co/bitstream/handle/20.500.12134/5365/be_347.pdf
Description:
Borrador de Economia No. 347
Download
Thumbnail Image
Name:
BDE-347-001.JPG
Size:
81.2 KB
Format:
Joint Photographic Experts Group/JPEG File Interchange Format (JFIF)
FILE
https://repositorio.banrep.gov.co/bitstream/handle/20.500.12134/5365/BDE-347-001.JPG
Description:
Imagen 347-001
Download
Thumbnail Image
Name:
BDE-347-002.JPG
Size:
84.2 KB
Format:
Joint Photographic Experts Group/JPEG File Interchange Format (JFIF)
FILE
https://repositorio.banrep.gov.co/bitstream/handle/20.500.12134/5365/BDE-347-002.JPG
Description:
Imagen 347-002
Download
Thumbnail Image
Name:
BDE-347-003.JPG
Size:
59.88 KB
Format:
Joint Photographic Experts Group/JPEG File Interchange Format (JFIF)
FILE
https://repositorio.banrep.gov.co/bitstream/handle/20.500.12134/5365/BDE-347-003.JPG
Description:
Imagen 347-003
Download
Thumbnail Image
Name:
BDE-347-004.JPG
Size:
92.05 KB
Format:
Joint Photographic Experts Group/JPEG File Interchange Format (JFIF)
FILE
https://repositorio.banrep.gov.co/bitstream/handle/20.500.12134/5365/BDE-347-004.JPG
Description:
Imagen 347-004
Download
License bundle
Now showing 1 - 1 of 1
Name:
license.txt
Size:
1.71 KB
Format:
Plain Text
Description:
Download

Collections

Borradores de Economía