Borradores de Economia
Número:
943
Publicado:
Clasificación JEL:
G01, G15, C32
Palabras clave:
Volatility Spillovers, DCC-GARCH Model, Stock Market Linkages, Financial Crisis
Lo más reciente
Diego Fernando Cuesta-Mora, Fredy Alejandro Gamboa-Estrada, Camilo Eduardo Sánchez-Quinto
María José Roa-García, Gloria Amparo Alonso Masmela, Nidia García Bohórquez, Diego A. Rodríguez-Pinilla
José Vicente Romero-Chamorro, Hernando Vargas-Herrera
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