Borradores de Economia
Número:
884
Publicado:
Clasificación JEL:
G01, G15, C32
Palabras clave:
financial contagion, Financial crises, Multivariate GARCH Models
Lo más reciente
Diego Fernando Cuesta-Mora, Gómez-Molina Andrés Camilo
Andrés Nicolás Herrera-Rojas, David Camilo López-Valenzuela, Juan José Ospina-Tejeiro, Jesús Antonio Bejarano-Rojas
Jaime Alfredo Bonet-Moron, Yuri Carolina Reina-Aranza, Adriana Ortega, Ana Rosa Polanco
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