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Volatility dynamics in the term structure of Latin American sovereign international bonds
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.
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Journal
Emerging markets finance and tradeVolume
51Issue
5Pagination
859 - 866Publisher
RoutledgeLocation
Abingdon, Eng.Publisher DOI
ISSN
1540-496XeISSN
1558-0938Language
engPublication classification
C Journal article; C1 Refereed article in a scholarly journalCopyright notice
2015, Taylor & FrancisUsage metrics
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