Stock Market Linkages

Below are the contents available on the site related to the query.

  • Stock Market Volatility Spillovers: Evidence for Latin America

    Publicación |

    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 directly from the series of asset…