Borradores de Economia
Número:
884
Publicado:
Clasificación JEL:
G01, G15, C32
Palabras clave:
financial contagion, Financial crises, Multivariate GARCH Models
Lo más reciente
Carola Müller, Matias Ossandon Busch, Miguel Sarmiento, Freddy A. Pinzón-Puerto
Francisco Javier Lasso-Valderrama, Mario Andrés Ramos-Veloza
Diego Fernando Cuesta-Mora, Gómez-Molina Andrés Camilo
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