Número:
983
Publicado:
Clasificación JEL:
G01, G15, C32
Palabras clave:
Volatility Spillovers, DCC-GARCH Model, Global Stock Market Linkages, Financial Crisis
Lo más reciente
Luis E. Arango, Leonardo Bonilla-Mejía, Luz Adriana Flórez, Luis E. Arango
Julián Andrés Parra-Polanía, Constanza Martínez-Ventura
Edgar Caicedo-García, Jorge Enrique Ramos-Forero, Hernán Rincón-Castro, Hector Manuel Zárate-Solano
In this study we construct volatility spillover indexes for some of the major stock market indexes in the world. We use a DCC-GARCH framework for modelling the multivariate relationships of volatility among markets. Extending the framework of Diebold and