Financial Contagion in Latin America

Número: 
884
Publicado: 
Clasificación JEL: 
G01, G15, C32
Palabras clave: 
financial contagion, Financial crises, Multivariate GARCH Models

This study uses a Dynamic Conditional Correlation multivariate GARCH approach for testing for contagion among Latin American financial markets to shocks originated in the United States and Europe. Using daily data on stock market returns for the period co