Testing the hypothesis of contagion using multivariate volatility models

dc.contributorEscolas::EESP
dc.creatorPereira, Pedro L. Valls
dc.date.accessioned2009-01-26T12:33:48Z
dc.date.accessioned2022-11-03T20:14:38Z
dc.date.available2009-01-26T12:33:48Z
dc.date.available2022-11-03T20:14:38Z
dc.date.created2009-01-26T12:33:48Z
dc.date.issued2009-01-26
dc.identifierhttp://hdl.handle.net/10438/2180
dc.identifier.urihttps://repositorioslatinoamericanos.uchile.cl/handle/2250/5034454
dc.description.abstractThe aim of this paper is to test whether or not there was evidence of contagion across the various financial crises that assailed some countries in the 1990s. Data on sovereign debt bonds for Brazil, Mexico, Russia and Argentina were used to implement the test. The contagion hypothesis is tested using multivariate volatility models. If there is any evidence of structural break in volatility that can be linked to financial crises, the contagion hypothesis will be confirmed. Results suggest that there is evidence in favor of the contagion hypothesis.
dc.languageeng
dc.relationTextos para discussão - EESP ; 174
dc.subjectMultivariate volatility models
dc.subjectContagion
dc.subjectCrise financeira
dc.subjectFinanças - Modelos matemáticos
dc.titleTesting the hypothesis of contagion using multivariate volatility models
dc.typeWorking Paper


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