<?xml version="1.0" encoding="ISO-8859-1"?><article xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance">
<front>
<journal-meta>
<journal-id>0121-4772</journal-id>
<journal-title><![CDATA[Cuadernos de Economía]]></journal-title>
<abbrev-journal-title><![CDATA[Cuad. Econ.]]></abbrev-journal-title>
<issn>0121-4772</issn>
<publisher>
<publisher-name><![CDATA[Universidad Nacional de Colombia]]></publisher-name>
</publisher>
</journal-meta>
<article-meta>
<article-id>S0121-47722021000100025</article-id>
<article-id pub-id-type="doi">10.15446/cuad.econ.v40n82.79400</article-id>
<title-group>
<article-title xml:lang="en"><![CDATA[EXTREME VOLATILITY DEPENDENCE IN EXCHANGE RATES]]></article-title>
<article-title xml:lang="es"><![CDATA[Dependencia extrema de la volatilidad en los tipos de cambio.]]></article-title>
<article-title xml:lang="pt"><![CDATA[Dependência extrema da volatilidade nas taxas de câmbio.]]></article-title>
</title-group>
<contrib-group>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Sosa Castro]]></surname>
<given-names><![CDATA[Miriam]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Bucio Pacheco]]></surname>
<given-names><![CDATA[Christian]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Díaz Rodríguez]]></surname>
<given-names><![CDATA[Héctor Eduardo]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
</contrib-group>
<aff id="Af1">
<institution><![CDATA[,Universidad Autónoma Metropolitana-Iztapalapa  ]]></institution>
<addr-line><![CDATA[ ]]></addr-line>
<country>Mexico</country>
</aff>
<aff id="Af2">
<institution><![CDATA[,Universidad Autónoma del Estado de México  ]]></institution>
<addr-line><![CDATA[ ]]></addr-line>
<country>Mexico</country>
</aff>
<aff id="Af3">
<institution><![CDATA[,UNAM  ]]></institution>
<addr-line><![CDATA[Ciudad de México ]]></addr-line>
<country>Mexico</country>
</aff>
<pub-date pub-type="pub">
<day>00</day>
<month>06</month>
<year>2021</year>
</pub-date>
<pub-date pub-type="epub">
<day>00</day>
<month>06</month>
<year>2021</year>
</pub-date>
<volume>40</volume>
<numero>82</numero>
<fpage>25</fpage>
<lpage>55</lpage>
<copyright-statement/>
<copyright-year/>
<self-uri xlink:href="http://www.scielo.org.co/scielo.php?script=sci_arttext&amp;pid=S0121-47722021000100025&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.co/scielo.php?script=sci_abstract&amp;pid=S0121-47722021000100025&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.co/scielo.php?script=sci_pdf&amp;pid=S0121-47722021000100025&amp;lng=en&amp;nrm=iso"></self-uri><abstract abstract-type="short" xml:lang="en"><p><![CDATA[ABSTRACT This paper aims to analyse asymmetric volatility dependence in the exchange rate between the British Pound, Japanese Yen, Euro, and Mexican Peso compared to the U.S. dollar during different periods of turmoil and calm sub-periods between (1994-2018). GARCH and TARCH models are employed to model conditional variance. Once volatility is estimated, the Copula approach provides an upper and lower tail dependence measure for each subperiod: 1994-1999, 2000-2007, 2007-2012, 2013-2018. The empirical joint distribution of exchange rate volatility pairs displays high tail-dependence in the lower tail and low tail-dependence in the upper tail. Results have important implications in term of risk management and investment strategies. JEL: G01, G15, F65, C58.]]></p></abstract>
<abstract abstract-type="short" xml:lang="es"><p><![CDATA[RESUMEN Este artículo analiza la dependencia asimétrica de la volatilidad de los tipos de cambio entre la libra esterlina, yen japonés, euro y peso mexicano en términos del dólar americano, en un periodo que comprende episodios de calma e incerti-dumbre (1994-2018). Los modelos GARCH y TARCH se emplean para modelar la volatilidad del tipo de cambio. Una vez que la volatilidad se estima, se calcula la dependencia de la cola superior e inferior, para cada subperiodo: 1994-1999, 2000-2007, 2007-2012, 2013-2018. La dependencia bivariada de la volatilidad cambiaria muestra alta dependencia en la cola inferior y baja dependencia en la cola superior. JEL: G01, G15, F65, C58.]]></p></abstract>
<abstract abstract-type="short" xml:lang="pt"><p><![CDATA[RESUMO Este artigo analisa a dependência assimétrica da volatilidade das taxas de câmbio entre a libra esterlina, o iene japonês, o euro e o peso mexicano em relação ao dólar norte-americano, em um período que inclui episódios de calma e incerteza (1994-2018). Os modelos GARCH e TARCH são usados para modelar a volatilidade da taxa de câmbio. Uma vez que a volatilidade é estimada, calcula-se a dependência da cauda superior e inferior, para cada subperíodo: 1994-1999, 20002007, 2007-2012, 2013-2018. A dependência bivariada da volatilidade da taxa de câmbio mostra alta dependência na cauda inferior e baixa dependência na cauda superior. JEL: G01, G15, F65, C58.]]></p></abstract>
<kwd-group>
<kwd lng="en"><![CDATA[Exchange rates]]></kwd>
<kwd lng="en"><![CDATA[volatility modelling]]></kwd>
<kwd lng="en"><![CDATA[tail dependence]]></kwd>
<kwd lng="es"><![CDATA[tipo de cambio]]></kwd>
<kwd lng="es"><![CDATA[modelación de volatilidad]]></kwd>
<kwd lng="es"><![CDATA[dependencia de cola]]></kwd>
<kwd lng="pt"><![CDATA[taxa de câmbio]]></kwd>
<kwd lng="pt"><![CDATA[modelagem de volatilidade]]></kwd>
<kwd lng="pt"><![CDATA[dependência da cauda]]></kwd>
</kwd-group>
</article-meta>
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