Borradores de Economia
Number:
983
Published:
Classification JEL:
G01, G15, C32
Keywords:
Human capital agglomeration, Social returns, Private returns, Externalities, Uncertainty, Fiscal policy
The most recent
Karina Acosta, Jesus Saldaña
Jhorland Ayala-García, Leider Manjarres-Beleño, María Urueta-Polo
Luis E. Arango, Luis E. Arango, Luz Adriana Flórez, Carlos Esteban Posada
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