Stock market volatility spillovers : evidence for Latin America

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Borradores de Economía; No. 943
Date published
2016-05-31
Date of last update
2016-05-31
Author
Gamba-Santamaría, Santiago
Gómez-González, José Eduardo
Melo-Velandia, Luis Fernando
Hurtado-Guarín, Jorge Luis
Document language
spa
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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
C32 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space ModelsG15 - International Financial MarketsG01 - Financial Crises
Keywords
Volatility spillovers ; DCC-GARCH model ; Stock market linkages ; Financial crisis ;
URI
https://repositorio.banrep.gov.co/handle/20.500.12134/6254
https://hdl.handle.net/20.500.12134/6254
https://doi.org/10.32468/be.943
https://ideas.repec.org/p/bdr/borrec/943.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