Testando A Hipótese De Contágio A Partir De Modelos Multivariados De Volatilidade
[Testing the contagion hypotheses using multivariate volatility models]
AbstractThis aim of this paper is to test whether or not there was evidence of financial crises ‘contagion’. The sovereignty debt bonds data for Brazil, Mexico, Russia and Argentine were used to implement such test. The ‘contagion’ hypothesis is tested using multivariate volatility models. It’s considered evidence in favor of ‘contagion’ hypothesis if there is indication of structural instability that can be linked in any sense to one financial crisis. The result suggests that there is evidence in favor of ‘contagion’ hypothesis
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 10356.
Date of creation: 08 Sep 2008
Date of revision:
Contagion; Multivariate Volatility Models;
Find related papers by JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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