Testing for contagion from oil and developed markets to emerging markets : an empirical analysis using systemic risk parameter

This paper analyses the volatility transmission from changes in prices in oil and developed stock markets to emerging markets. We test for volatility contagion from these two factors while allowing for interaction between them in order to account for diversification effects using the M-GARCH framewo...

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Autores:

Cayón Fallon, Edgardo
Sarmiento Sabogal, Julio Alejandro

Tipo de recurso:

Article of investigation

Fecha de publicación:

2020

Institución:

Colegio de Estudios Superiores de Administración

Repositorio:

Repositorio CESA

Idioma:

eng

OAI Identifier:

oai:repository.cesa.edu.co:10726/5073

Acceso en línea:

http://hdl.handle.net/10726/5073
https://www.jois.eu/?605,en_testing-for-contagion-from-oil-and-developed-markets-to-emerging-markets-an-empirical-analysis-using-systemic-risk-parameter

Palabra clave:

Oil
Contagion
Emerging markets
Systemic risk

Rights

openAccess

License

Abierto (Texto Completo)