Common volatility across Latin American foreign exchange markets

References

• Alexander , C . 1995a . Common volatility in the foreign exchange market . Applied Financial Economics , 5 : 1 – 10 .
   Google Scholar
• Alexander , C . 1995b . “ Cofeatures in international bond and equity markets ” . University of Sussex Discussion Papers Ismacentre .
   Google Scholar
• Anderson , H and Vahid , F . 2005 . Forecasting the volatility of Australian stock returns: do common factors help? The Australian National University , Working Papers in Economics and Econometrics WP 451
   Google Scholar
• Arshanapalli , B and Doukas , J . 1994 . Common volatility in S&P 500 stock index and S&P 500 index futures prices during october 1987 . Journal of Futures Markets , 8 : 915 – 25 .
   Web of Science ®Google Scholar
• Arshanapalli , B , Doukas , J and Lang , L . 1997 . Common volatility in the industrial structure of global capital markets . Journal of International Money and Finance , 16 : 189 – 209 .
   Web of Science ®Google Scholar
• Babetskaia-Kukharchuk , O , Babetskii , I and Podpiera , J . 2008 . Convergence in exchange rates: market's view on CE-4 joining EMU . Applied Economics Letters , 15 : 385 – 90 .
   Web of Science ®Google Scholar
• Baillie , RT and Bollerslev , T . 1991 . Intra-day and inter-market volatility in foreign exchange rates . Review of Economic Studies , 58 : 565 – 85 .
   Web of Science ®Google Scholar
• Beliu , S . 2005 . International financial integration , Western Michigan University . PhD Dissertation
   Google Scholar
• Berg , A , Borenztein , E and Mauro , P . 2003 . Monetary regime options for Latin America . Finance and Development , 40 : 24 – 7 .
   Google Scholar
• Black , A and McMillan , DG . 2004 . Long-run trends and volatility spillovers in daily exchange rates . Applied Financial Economics , 14 : 895 – 907 .
   Google Scholar
• Booth , G , Mustafa , C and Martikainen , T . 1996 . Common volatility in major stock index futures markets . European Journal of Operational Research , 95 : 623 – 30 .
   Web of Science ®Google Scholar
• Booth , G and Tse , Y . 1996 . Common volatility and volatility spillovers between US and eurodollar interest rates: evidence from the futures market . Journal of Economics and Business , 48 : 299 – 312 .
   Google Scholar
• Byers , JD and Peel , DA . 1995 . Bilinear quadratic ARCH and volatility spillovers in inter-war exchange rates . Applied Economics Letters , 2 : 215 – 19 .
   Web of Science ®Google Scholar
• Cheung , Y-W and Ng , LK . 1996 . A causality-in-variance test and its application to financial market prices . Journal of Econometrics , 72 : 33 – 48 .
   Web of Science ®Google Scholar
• Choudhry , T . 1997 . Stochastic trends in stock prices: evidence from Latin American markets . Journal of Macroeconomics , 19 : 285 – 304 .
   Web of Science ®Google Scholar
• De Mello , L and Carneiro , FG . 1997 . The long run behavior of exchange rates in Brazil, Chile and Argentina: a cointegration analysis . International Review of Economics and Finance , 6 : 37 – 48 .
   Google Scholar
• Diamandis , P . 2003 . Market efficiency, purchasing power parity, and the official and parallel markets for foreign currency in Latin America . International Review of Economics and Finance , 12 : 89 – 110 .
   Google Scholar
• Diamandis , P and Drakos , A . 2005 . Long-run dynamics of official and black market exchange rates in Latin America . Global Finance Journal , 15 : 219 – 37 .
   Google Scholar
• Dickey , D and Fuller , W . 1979 . Distribution for the estimators for autoregressive time series with a unit root . Journal of American Statistical Association , 74 : 427 – 31 .
   Web of Science ®Google Scholar
• Dickey , D and Fuller , W . 1981 . Likelihood ratio statistics for autoregressive time series with a unit root . Econometrica , 49 : 1057 – 72 .
   Web of Science ®Google Scholar
• Diebold , F and Nerlove , M . 1989 . The dynamics of exchange rate volatility: a multivariate latent factor ARCH model . Journal of Applied Econometrics , 4 : 1 – 21 .
   Web of Science ®Google Scholar
• Edwards , S . 1998 . Capital inflows in Latin America: a stop-go story? National Bureau of Economic Analysis (NBER) , Working Paper, No. 6441
   Google Scholar
• Edwards , S . 2003 . Financial instability in Latin America . Journal of International Money and Finance , 22 : 1095 – 106 .
   Web of Science ®Google Scholar
• Edwards , S and Susmel , R . 2001 . Volatility dependence and contagion in emerging equity markets . Journal of Development Economics , 66 : 505 – 32 .
   Web of Science ®Google Scholar
• Edwards , S and Susmel , R . 2003 . Interest rate volatility and contagion in emerging markets: evidence from the 1990s . Review of Economics and Statistics , 85 : 328 – 48 .
   Web of Science ®Google Scholar
• Elliott , G , Rothenberg , TJ and Stock , JH . 1996 . Efficient tests for an autoregressive unit root . Econometrica , 64 : 813 – 36 .
   Web of Science ®Google Scholar
• Enders , W . 2004 . Applied Econometric Time Series , 2nd , New York : John Wiley and Sons .
   Google Scholar
• Engle , R . 1982 . Autoregressive conditional heteroscedasticity with estimates of the variance of UK inflation . Econometrica , 50 : 987 – 1008 .
   Web of Science ®Google Scholar
• Engle , R and Kozicki , S . 1993 . Testing for common features (with comments) . Journal of Business and Economic Statistics , 4 : 369 – 95 .
   Google Scholar
• Engle , R and Marcucci , J . 2002 . Common features: an overview of theory and applications to finance , San Diego : University of California . Manuscript
   Google Scholar
• Engle , R and Marcucci , J . 2006 . A long-run pure variance common features model for the common volatilities of the Dow Jones . Journal of Econometrics , 132 : 7 – 42 .
   Web of Science ®Google Scholar
• Engle , R and Susmel , R . 1993 . Common volatility in international equity markets . Journal of Business and Economic Statistics , 11 : 167 – 76 .
   Web of Science ®Google Scholar
• Engle , RF , Ito , T and Lin , WL . 1990 . Meteor showers of heat waves? Heteroskedastic intra-daily volatility in the foreign exchange market . Econometrica , 58 : 525 – 42 .
   Web of Science ®Google Scholar
• Ericsson , N . 1993 . Comment: testing for common features . Journal of Business and Economics Statistics , 11 : 380 – 3 .
   Google Scholar
• Farrell , GN . 2001 . Capital controls and the volatility of South African exchange rates . South African Reserve Bank , 15 : 1 – 27 .
   Google Scholar
• Fernandez-Serrano , J and Sosvilla-Rivero , S . 2003 . Modeling the linkages between US and Latin American stock markets . Applied Economics , 35 : 1423 – 34 .
   Web of Science ®Google Scholar
• Giner , I and Mendoza , O . 2005 . Foreign exchange intervention in Venezuela , BIS Papers Bank of International Settlements .
   Google Scholar
• Hamilton , J . 1994 . Time Series Analysis , Princeton : Princeton University Press .
   Google Scholar
• Hansen , LP . 1982 . Large sample properties of generalized method of moments estimators . Econometrica , 50 : 1023 – 54 .
   Web of Science ®Google Scholar
• Harvey , A , Ruiz , E and Shephard , N . 1994 . Multivariate stochastic variance models . Review of Economic Studies , 61 : 247 – 64 .
   Web of Science ®Google Scholar
• Klaassen , F . 1999 . Have exchange rates become more closely tied? Evidence from a new multivariate GARCH model , Centre Discussion Paper No. 9910
   Google Scholar
• Ljung , G and Box , G . 1979 . On a measure of lack of fit in time series models . Biometrika , 66 : 265 – 70 .
   Web of Science ®Google Scholar
• MacKinnon , J . 1996 . Numerical distribution functions for unit root tests . Journal of Applied Econometrics , 11 : 601 – 18 .
   Web of Science ®Google Scholar
• Ng , A . 2000 . Volatility spillover effects from Japan and the US to the Pacific-basin . Journal of International Money and Finance , 19 : 207 – 33 .
   Web of Science ®Google Scholar
• Phillips , PCB and Perron , P . 1988 . Testing for a unit root in time series regressions . Biometrika , 75 : 335 – 46 .
   Web of Science ®Google Scholar
• Ruiz , I . 2007 . “ Linkages among Latin American foreign exchange markets: a long-run perspective in the presence of structural breaks ” . In Applied Economics Letters (forthcoming)
   Google Scholar
• Seabra , F . 2001 . A cointegration analysis between Mercosur and international stock markets . Applied Economic Letters , 8 : 475 – 8 .
   Web of Science ®Google Scholar
• So , R , Booth , G and Loistl , O . 1997 . An examination of intraday common volatility in the German index derivative markets . Journal of Multinational Financial Management , 7 : 305 – 16 .
   Google Scholar
• Speight , AEH and McMillan , DG . 2001 . Volatility spillovers in East European black-market exchange rates . Journal of International Money and Finance , 20 : 367 – 78 .
   Web of Science ®Google Scholar
• Tse , Y and Booth , G . 1996 . Common volatility and volatility spillovers between US and eurodollar interest rates: evidence from the future markets . Journal of Economics and Business , 48 : 299 – 312 .
   Google Scholar