International propagation of shocks: an evaluation of contagion effects for some Latin American countries

In this paper we analyze the spread of shocks across assets markets in eight Latin American countries. First, we measure the extent of markets reactions with the Principal Components Analysis. And second, we investigate the volatility of assets markets based in ARCH-GARCH models in function of the p...

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Detalles Bibliográficos
Autores Principales: Ramírez Gómez, Manuel, Martínez, Constanza
Formato: Documento de trabajo (Working Paper)
Lenguaje:Español (Spanish)
Publicado: Universidad del Rosario 2009
Materias:
Acceso en línea:http://repository.urosario.edu.co/handle/10336/10970