Julio, Juan Manuel; Rodríguez, Norberto; Zárate, … - BANCO DE LA REPÚBLICA - 2005
estimate the mean and “volatility smile” return functions using daily data. For the pre-interventions sample, we found a … nonlinear expected return function and, surprisingly, a nonsymmetric “volatility smile”. These lack of linearity and symmetry … contrast, the “volatility smile” tends to increase in a non-symmetric way after accounting for “discretional interventions …