Speculative bubbles and contagion: analysis of volatility's clusters during the DotCom bubble based on the dynamic conditional correlation model

dc.contributorEscolas::EESP
dc.creatorKohn, Maximilian-Benedikt Herwarth Detlef
dc.creatorPereira, Pedro L. Valls
dc.date.accessioned2016-05-16T19:30:01Z
dc.date.accessioned2022-11-03T20:25:20Z
dc.date.available2016-05-16T19:30:01Z
dc.date.available2022-11-03T20:25:20Z
dc.date.created2016-05-16T19:30:01Z
dc.date.issued2016-05-16
dc.identifierTD 418
dc.identifierhttp://hdl.handle.net/10438/16533
dc.identifier.urihttps://repositorioslatinoamericanos.uchile.cl/handle/2250/5038076
dc.description.abstractReviewing the de nition and measurement of speculative bubbles in context of contagion, this paper analyses the DotCom bubble in American and European equity markets using the dynamic conditional correlation (DCC) model proposed by (Engle and Sheppard 2001) as on one hand as an econometrics explanation and on the other hand the behavioral nance as an psychological explanation. Contagion is de ned in this context as the statistical break in the computed DCCs as measured by the shifts in their means and medians. Even it is astonishing, that the contagion is lower during price bubbles, the main nding indicates the presence of contagion in the di¤erent indices among those two continents and proves the presence of structural changes during nancial crisis
dc.languageeng
dc.relationEESP - Textos para Discussão;td 418
dc.subjectSpeculative bubbles
dc.subjectBehavioral nance
dc.subjectNancial contagion
dc.subjectDCC
dc.titleSpeculative bubbles and contagion: analysis of volatility's clusters during the DotCom bubble based on the dynamic conditional correlation model
dc.typeWorking Paper


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