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Volatility dynamics in the term structure of Latin American sovereign international bonds

Thuraisamy, Kannan S. 2015, Volatility dynamics in the term structure of Latin American sovereign international bonds, Emerging markets finance and trade, vol. 51, no. 5, pp. 859-866, doi: 10.1080/1540496X.2015.1061377.

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Title Volatility dynamics in the term structure of Latin American sovereign international bonds
Author(s) Thuraisamy, Kannan S.
Journal name Emerging markets finance and trade
Volume number 51
Issue number 5
Start page 859
End page 866
Total pages 8
Publisher Routledge
Place of publication Abingdon, Eng.
Publication date 2015-09-03
ISSN 1540-496X
1558-0938
Keyword(s) multivariate GARCH
sovereign bonds
term structure
volatility dynamics
Summary We examine the nature of volatility dynamics in the term structure of sovereign bonds issued in international markets by major Latin American countries. Focusing only on the U.S. dollar-denominated sovereign international bonds, this study shows the heterogeneous nature of volatility effects that affect the term structure of individual countries in Latin America. Considering the significance of the Argentine credit event in the region, we also account for any change in dynamics following the Argentine default in 2001 by subsampling the pre- and postdefault windows. We also find some evidence of liquidity-driven volatility interaction in the term structure.
Language eng
DOI 10.1080/1540496X.2015.1061377
Field of Research 150202 Financial Econometrics
Socio Economic Objective 900102 Investment Services (excl. Superannuation)
HERDC Research category C1 Refereed article in a scholarly journal
Copyright notice ©2015, Taylor & Francis
Persistent URL http://hdl.handle.net/10536/DRO/DU:30078406

Document type: Journal Article
Collections: Faculty of Business and Law
School of Accounting, Economics and Finance
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