Número:
943
Publicado:
Clasificación JEL:
G01, G15, C32
Palabras clave:
Volatility Spillovers, DCC-GARCH Model, Stock Market Linkages, Financial Crisis
Lo más reciente
Nicol Valeria Rodríguez-Rodríguez, Hernán Dario Perdomo-Sánchez
Luis Fernando Melo-Velandia, Daniel Parra-Amado, Juan Pablo Bermúdez-Cespedes
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