Stock market volatility spillovers: Evidence for Latin America
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- 作者：Santiago Gamba-Santamaria <sup>sgambasa@banrep.gov.cosup> ; Jose Eduardo Gomez-Gonzalez<sup> ; sup><sup>jgomezgo@banrep.gov.cosup> ; Jorge Luis Hurtado-Guarin <sup>jhurtagu@banrep.gov.cosup> ; Luis Fernando Melo-Velandia <sup>lmelovel@banrep.gov.cosup>
- 关键词：Volatility spillovers ; DCC-GARCH model ; Stock market linkages ; Financial crisis
- 刊名：Finance Research Letters
- 出版年：2017
- 出版时间：February 2017
- 年：2017
- 卷：20
- 期：Complete
- 页码：207-216
- 全文大小：1198 K
- 卷排序：20
文摘
We extend the framework of Diebold and Yilmaz (2009a, 2012). We construct volatility spillover indexes using a DCC-GARCH framework. We apply our method to stock market indexes of the United States and four Latin American countries. Brazil is a net volatility transmitter for most of the sample period. Shock transmission from the US to LAC substantially increased during the recent international financial crisis.