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Testing the Hypothesis of Contagion Using Multivariate Volatility Models
Brazilian Review of Econometrics
View Archive Info| Field | Value | |
| Title |
Testing the Hypothesis of Contagion Using Multivariate Volatility Models
Testing the Hypothesis of Contagion Using Multivariate Volatility Models |
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| Creator |
Marçal, Emerson Fernandes
Pereira, Pedro L. Valls |
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| Description |
The 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.
The 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. |
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| Publisher |
Sociedade Brasileira de Econometria
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| Date |
2008-11-01
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion |
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| Format |
application/pdf
application/pdf |
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| Identifier |
http://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/1511
10.12660/bre.v28n22008.1511 |
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| Source |
Brazilian Review of Econometrics; Vol. 28 No. 2 (2008); 191-216
Brazilian Review of Econometrics; v. 28 n. 2 (2008); 191-216 1980-2447 |
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| Language |
eng
por |
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| Relation |
http://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/1511/936
http://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/1511/937 |
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