Borradores de Economia
Número:
983
Publicado:
Clasificación JEL:
G01, G15, C32
Palabras clave:
Volatility Spillovers, DCC-GARCH Model, Global Stock Market Linkages, Financial Crisis
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
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