TY  - GEN 
A1  - Gamba-Santamaria, Santiago
A1  - Gomez-Gonzalez, Jose Eduardo
A1  - Hurtado-Guarin, Jorge Luis
A1  - Melo-Velandia, Luis Fernando
DA  - 2017/01/01
PY  - 2017
UR  - https://repositorio.banrep.gov.co/handle/20.500.12134/6294
AB  - 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...
LA  - spa
PB  - Banco de la Republica
T3  - Borradores de Economia
JF  - Borradores de Economia; No. 983
M3  - Open Access
T1  - Volatility spillovers among global stock markets : measuring total and directional effects
KW  - G01 - Financial Crises
KW  - G15 - International Financial Markets
KW  - C32 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
KW  - Volatility spillovers
KW  - DCC-GARCH model
KW  - Global stock market linkages
KW  - Financial crisis
KW  - Mercado de capitales -- Australia -- 2001-2016
KW  - Mercado de capitales -- Canada -- 2001-2016
KW  - Mercado de capitales -- China -- 2001-2016
KW  - Mercado de capitales -- Alemania -- 2001-2016
KW  - Mercado de capitales -- Japon -- 2001-2016
KW  - Mercado de capitales -- Reino Unido -- 2001-2016
KW  - Mercado de capitales -- Estados Unidos -- 2001-2016
KW  - G01 - Crisis financiera
KW  - G15 - Mercados financieros internacionales
KW  - C32 - Modelos de series temporales; Regresiones cuantiles dinamicas; Modelos dinamicos de tratamiento; procesos de difusion; representacion de espacios de estados
DO  - https://doi.org/10.32468/be.983
L1  - https://ideas.repec.org/p/bdr/borrec/983.html
ER  -