This article investigates the existence of contagion between countries on the basis of an analysis of returns for stock indices over the period 1994-2003. The economic methodology used is that of multivariate GARCH family volatility models, particularly the DCC models in the form proposed by...

This article investigates the existence of contagion between countries on the basis of an analysis of returns for stock indices over the period 1994 to 2003. The econometrics methodology used is that of multivariate Generalized Autoregressive Conditional Heteroscedasticity (GARCH) family...