Stock market volatility spillovers : evidence for Latin America
Borradores de Economía; No. 943
Date published
2016-05-31Date of last update
2016-05-31Author
Document language
spaMetadata
Show full item recordMetrics
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.
Abstract
We extend the framework of Diebold and Yilmaz [2009] and Diebold and Yilmaz [2012] and construct volatility spillover indexes using a DCC-GARCH framework to model the multivariate relationships of volatility among assets. We compute spillover indexes dire
JEL Codes
Keywords
URI
https://repositorio.banrep.gov.co/handle/20.500.12134/6254https://hdl.handle.net/20.500.12134/6254
https://doi.org/10.32468/be.943
https://ideas.repec.org/p/bdr/borrec/943.html
Collections
- Borradores de Economía [1204]
