Volatility spillovers among global stock markets : measuring total and directional effects

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Borradores de Economía; No. 983
Date published
2017-01-31
Date of last update
2017-01-31
Author
Gamba-Santamaría, Santiago
Gómez-González, José Eduardo
Hurtado-Guarín, Jorge Luis
Melo-Velandia, Luis Fernando
Document language
spa
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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
JEL Codes
G01 - Financial CrisesG15 - International Financial MarketsC32 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Keywords
Volatility spillovers ; DCC-GARCH model ; Global stock market linkages ; Financial crisis ;
URI
https://repositorio.banrep.gov.co/handle/20.500.12134/6294
https://hdl.handle.net/20.500.12134/6294
https://doi.org/10.32468/be.983
https://ideas.repec.org/p/bdr/borrec/983.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