Stock market volatility spillovers : evidence for Latin America
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
Autores Principales: | , , , |
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Formato: | Documento de trabajo (Working Paper) |
Lenguaje: | Español (Spanish) |
Publicado: |
Banco de la República
2016
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Materias: | |
Acceso en línea: | http://repositorio.banrep.gov.co/handle/20.500.12134/6254 |