Borradores de Economia
Número:
884
Publicado:
Clasificación JEL:
G01, G15, C32
Palabras clave:
financial contagion, Financial crises, Multivariate GARCH Models
Lo más reciente
Aarón Levi Garavito-Acosta, Wilmer Martinez-Rivera, Juan J. Ospina-Tejeiro, Edgar Caicedo-García
Leonardo Fabio Morales, Diego Astorga-Rojas, Nicolas Guida-Johnson
Mauricio Villamizar-Villegas, Oscar Mauricio Valencia-Arana, Andrés Felipe Prado, Nicolás Aya
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