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

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dc.coverage.sucursalBogotáspa
dc.creatorGamba-Santamaría, Santiago
dc.creatorGómez-González, José Eduardo
dc.creatorHurtado-Guarín, Jorge Luis
dc.creatorMelo-Velandia, Luis Fernando
dc.creator.firmaLuis Fernando Melo-Velandia
dc.date.accessioned2017-01-31T08:30:10Zeng
dc.date.available2017-01-31T08:30:10Zspa
dc.date.created2017-01-31spa
dc.date.issued2017-01-31eng
dc.description.abstractIn 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 andeng
dc.format.mimetypePDFspa
dc.identifier.handlehttps://hdl.handle.net/20.500.12134/6294spa
dc.identifier.urihttps://repositorio.banrep.gov.co/handle/20.500.12134/6294spa
dc.language.isospaspa
dc.publisherBanco de la Repúblicaspa
dc.relation.doihttps://doi.org/10.32468/be.983spa
dc.relation.ispartofDocumentos de Trabajospa
dc.relation.ispartofseriesBorradores de Economíaspa
dc.relation.isversionofBorradores de Economía; No. 983spa
dc.relation.numberBorrador 983spa
dc.relation.repechttps://ideas.repec.org/p/bdr/borrec/983.htmlspa
dc.rights.accessRightsOpen Accesseng
dc.rights.ccAtribucion-NoComercial-CompartirIgual CC BY-NC-SA 4.0eng
dc.rights.disclaimerLas 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.spa
dc.rights.spaAcceso abiertospa
dc.rights.urihttps://creativecommons.org/licenses/by-nc-sa/4.0/eng
dc.source.handleRepecRePEc:bdr:borrec:983spa
dc.subject.jelG01 - Financial Criseseng
dc.subject.jelG15 - International Financial Marketseng
dc.subject.jelC32 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Modelseng
dc.subject.jelspaG01 - Crisis financieraspa
dc.subject.jelspaG15 - Mercados financieros internacionalesspa
dc.subject.jelspaC32 - Modelos de series temporales; Regresiones cuantiles dinámicas; Modelos dinámicos de tratamiento; procesos de difusión; representación de espacios de estadosspa
dc.subject.keywordVolatility spilloverseng
dc.subject.keywordDCC-GARCH modeleng
dc.subject.keywordGlobal stock market linkageseng
dc.subject.keywordFinancial crisiseng
dc.subject.lembMercado de capitales -- Australia -- 2001-2016spa
dc.subject.lembMercado de capitales -- Canadá -- 2001-2016spa
dc.subject.lembMercado de capitales -- China -- 2001-2016spa
dc.subject.lembMercado de capitales -- Alemania -- 2001-2016spa
dc.subject.lembMercado de capitales -- Japón -- 2001-2016spa
dc.subject.lembMercado de capitales -- Reino Unido -- 2001-2016spa
dc.subject.lembMercado de capitales -- Estados Unidos -- 2001-2016spa
dc.titleVolatility spillovers among global stock markets : measuring total and directional effectseng
dc.typeWorking Papereng
dc.type.hasversionPublished Versioneng
dc.type.spaDocumentos de trabajospa

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