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Testando A Hipótese De Contágio A Partir De Modelos Multivariados De Volatilidade
[Testing the contagion hypotheses using multivariate volatility models]

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  • Marçal, Emerson F.
  • Valls Pereira, Pedro L.

Abstract

This 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 Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 10356.

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Date of creation: 08 Sep 2008
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Handle: RePEc:pra:mprapa:10356

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Keywords: Contagion; Multivariate Volatility Models;

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References

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Cited by:
  1. Pereira, Pedro Luiz Valls, 2009. "Evaluation of contagion or interdependence in the financial crises of Asia and Latin America, considering the macroeconomic fundamentals," Textos para discussão 177, Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).

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