Número:
943
Publicado:
Clasificación JEL:
G01, G15, C32
Palabras clave:
Volatility Spillovers, DCC-GARCH Model, Stock Market Linkages, Financial Crisis
Lo más reciente
Oscar Botero-Ramírez, Mauricio Villamizar-Villegas, Andrés Murcia
Margarita María Gáfaro-González
Julián Andrés Parra-Polanía, Juan D. Ladino Riveros
We extend the framework of Diebold and Yilmaz [2009] and Diebold and Yilmaz [2012] and construct volatility spillover indexes using a DCC-GARCH framework to model the multivariate relationships of volatility among assets. We compute spillover indexes dire