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

Santiago
Gamba-Santamaría
José Eduardo
Gómez-González
Jorge Luis
Hurtado-Guarín
Luis Fernando
Melo-Velandia
Domingo, 1 Enero 2017

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