@techreport{20.500.12134/6294,
author = {Gamba-Santamaría, Santiago},
author = {Gómez-González, José Eduardo},
author = {Hurtado-Guarín, Jorge Luis},
author = {Melo-Velandia, Luis Fernando},
year = {2017},
month = {1},
url = {https://repositorio.banrep.gov.co/handle/20.500.12134/6294},
abstract = {In this study we construct volatility spillover indexes for some of the major stock market indexes in the world. We use a DCC-GARCH framework for modelling the multivariate relationships of volatility among markets. Extending the framework of Diebold and},
publisher = {Banco de la República},
booktitle = {Borradores de Economía},
volume = {Borradores de Economía; No. 983},
title = {Volatility spillovers among global stock markets : measuring total and directional effects},
keywords = {Volatility spillovers},
keywords = {DCC-GARCH model},
keywords = {Global stock market linkages},
keywords = {Financial crisis},
doi = {https://doi.org/10.32468/be.983},
}