Equity Market Spillovers in the Americas
Using a recently-developed measure of financial market spillovers, we provide an empirical analysis of return and volatility spillovers among five equity markets in the Americas: Argentina, Brazil, Chile, Mexico and the U.S. The results indicate that both return and volatility spillovers vary widely. Return spillovers, however, tend to evolve gradually, whereas volatility spillovers display clear bursts that often correspond closely to economic events.
Year of publication: |
2009
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Authors: | Diebold, Francis X. ; Yilmaz, Kamil |
Published in: |
Journal EconomÃa Chilena (The Chilean Economy). - Banco Central de Chile. - Vol. 12.2009, 2, p. 55-65
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Publisher: |
Banco Central de Chile |
Saved in:
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