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

Author

Listed:
  • 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

Suggested Citation

  • Marçal, Emerson F. & Valls Pereira, Pedro L., 2008. "Testando A Hipótese De Contágio A Partir De Modelos Multivariados De Volatilidade
    [Testing the contagion hypotheses using multivariate volatility models]
    ," MPRA Paper 10356, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:10356
    as

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    File URL: https://mpra.ub.uni-muenchen.de/10356/1/MPRA_paper_10356.pdf
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    References listed on IDEAS

    as
    1. Engle, Robert F. & Kroner, Kenneth F., 1995. "Multivariate Simultaneous Generalized ARCH," Econometric Theory, Cambridge University Press, vol. 11(01), pages 122-150, February.
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    Cited by:

    1. Emerson Fernandes Marcal & Pedro Valls Pereira & Diogenes Manoel Leiva Martin & Wilson Toshiro Nakamura, 2011. "Evaluation of contagion or interdependence in the financial crises of Asia and Latin America, considering the macroeconomic fundamentals," Applied Economics, Taylor & Francis Journals, vol. 43(19), pages 2365-2379.

    More about this item

    Keywords

    Contagion; Multivariate Volatility Models;

    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; State Space Models
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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