Volatility transmission between US and Latin American Stock Markets: testing the decoupling hypothesis.

We test for volatility transmission between US and the six largest Latin American stock markets (Argentina, Brazil, Chile, Colombia, Mexico and Peru) using MGARCH-BEKK models in daily frequency from March 1993 to March 2013. As expected, we find strong evidence of volatility transmission from US to...

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Autores:

Agudelo, Diego A.
Gutiérrez, Marcela
Cardona, Laura

Tipo de recurso:

Fecha de publicación:

2015

Institución:

Universidad EAFIT

Repositorio:

Repositorio EAFIT

Idioma:

eng

OAI Identifier:

oai:repository.eafit.edu.co:10784/8011

Acceso en línea:

http://hdl.handle.net/10784/8011

Palabra clave:

Volatility transmission
MGARCH
decoupling hypothesis
emerging markets
conditional correlation

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