dc.creator	Bejarano-Bejarano, Luis V.
dc.creator	Gómez-González, José Eduardo
dc.creator	Melo-Velandia, Luis Fernando
dc.creator	Torres-Gorron, Jhon Edwar
dc.date.created	2015-05-11
dc.date.issued	2015-05-11
dc.identifier.uri	https://repositorio.banrep.gov.co/handle/20.500.12134/6173
dc.description.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
dc.format.mimetype	PDF
dc.language.iso	spa
dc.publisher	Banco de la República
dc.relation.ispartof	Documentos de Trabajo
dc.relation.ispartofseries	Borradores de Economía
dc.relation.isversionof	Borradores de Economía; No. 884
dc.rights.accessRights	Open Access
dc.rights.uri	https://creativecommons.org/licenses/by-nc-sa/4.0/
dc.title	Financial Contagion in Latin America
dc.type	Working Paper
dc.subject.jel	C32 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
dc.subject.jel	G15 - International Financial Markets
dc.subject.jel	G01 - Financial Crises
dc.subject.keyword	Financial contagion
dc.subject.keyword	Financial crises
dc.subject.keyword	Multivariate GARCH models
dc.subject.lemb	Contagio (Crisis financiera) -- América Latina -- 2001-2013
dc.subject.lemb	Mercado financiero -- América Latina -- 2001-2013
dc.subject.lemb	Crisis financiera global, 2008-2009 -- Influencia -- América Latina
dc.type.spa	Documentos de trabajo
dc.rights.spa	Acceso abierto
dc.rights.cc	Atribucion-NoComercial-CompartirIgual CC BY-NC-SA 4.0
dc.subject.jelspa	G01 - Crisis financiera
dc.subject.jelspa	G15 - Mercados financieros internacionales
dc.subject.jelspa	C32 - Modelos de series temporales; Regresiones cuantiles dinámicas; Modelos dinámicos de tratamiento; procesos de difusión; representación de espacios de estados
dc.type.hasversion	Published Version
dc.coverage.sucursal	Bogotá
dc.relation.doi	https://doi.org/10.32468/be.884
dc.rights.disclaimer	Las opiniones contenidas en el presente documento son responsabilidad exclusiva de los autores y no comprometen al Banco de la República ni a su Junta Directiva.
dc.relation.repec	https://ideas.repec.org/p/bdr/borrec/884.html
dc.relation.dotec	https://ideas.repec.org/p/col/000094/012820.html
dc.identifier.handle	https://hdl.handle.net/20.500.12134/6173
dc.creator.firma	Luis Fernando Melo-Velandia
dc.source.handleRepec	RePEc:bdr:borrec:884
dc.source.handleRepec	RePEc:col:000094:012820

Financial Contagion in Latin America

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