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What is Stock Market Volatility Spillovers Evide about?

The document presents an analysis of stock market volatility spillovers in Latin America using a DCC-GARCH framework to model multivariate relationships among asset volatilities. It finds that Brazil acts as a net transmitter of volatility, while Chile, Colombia, and Mexico are net receivers, particularly during periods of financial crisis such as the Lehman Brothers episode. The study highlights the significant impact of U.S. market shocks on Latin American markets and the time-variant nature of these spil

Author

agutierrezhermosillo

Language

EN