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Stock market volatility spillovers : evidence for Latin America

Santiago
Gamba-Santamaría
José Eduardo
Gómez-González
Luis Fernando
Melo-Velandia
Jorge Luis
Hurtado-Guarín
Domingo, 1 Mayo 2016

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