Modelling Long Memory and Risk Premia in Latin American Sovereign Bond Markets

  • Alfonso Mendoza V.
Part of the Centre for the Study of Emerging Markets Series book series (CSEM)


Emerging bond markets (EBMs) have become one of the largest and most liquid international markets. The amount of debt outstanding is more than US$300 billion and the issuance by four countries–Argentina, Brazil, Mexico and Venezuela – accounts for 90 per cent or more of the total market debt in Latin America. These four issuers also drive around 50–60 per cent of most international emerging market bond indexes (EMBIs).


Risk Premia Credit Risk Excess Return Default Risk Credit Spread 
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© Contributors 2005

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  • Alfonso Mendoza V.

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