Financial Contagion in Latin America

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Borradores de Economía; No. 884
Date published
2015-05-11
Date of last update
2015-05-11
Author
Bejarano-Bejarano, Luis V.
Gómez-González, José Eduardo
Melo-Velandia, Luis Fernando
Torres-Gorron, Jhon Edwar
Document language
spa
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Abstract
This study uses a Dynamic Conditional Correlation multivariate GARCH approach for testing for contagion among Latin American financial markets to shocks originated in the United States and Europe. Using daily data on stock market returns for the period co
JEL Codes
C32 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space ModelsG15 - International Financial MarketsG01 - Financial Crises
Keywords
Financial contagion ; Financial crises ; Multivariate GARCH models ;
URI
https://repositorio.banrep.gov.co/handle/20.500.12134/6173
https://hdl.handle.net/20.500.12134/6173
https://doi.org/10.32468/be.884
https://ideas.repec.org/p/bdr/borrec/884.html
https://ideas.repec.org/p/col/000094/012820.html
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This work is licensed under a Creative Commons Reconocimiento-NoComercial 4.0.This document has been deposited by the author (s) under the following certificate of deposit