Volatility Spillovers and Contagion from Mature to Emerging Stock Markets /

Volatility Spillovers and Contagion from Mature to Emerging Stock Markets /

This paper examines volatility spillovers from mature to emerging stock markets and tests for changes in the transmission mechanism-contagion-during turbulences in mature markets. Tri-variate GARCH-BEKK models of returns in global (mature), regional, and local markets are estimated for 41 emerging m...

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Bibliografiske detaljer
Hovedforfatter:	Caporale, Guglielmo
Andre forfattere:	Beirne, John, Schulze-Ghattas, Marianne, Spagnolo, Nicola
Format:	Tidsskrift
Sprog:	English
Udgivet:	Washington, D.C. : International Monetary Fund, 2008.
Serier:	IMF Working Papers; Working Paper ; No. 2008/286
Online adgang:	Full text available on IMF

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