Volatility Spillovers between Equity and Currency Markets: Evidence from Major Latin American Countries

Lucía de las Nieves Morales

Latin American Journal of Economics-formerly Cuadernos de Economía, 2008, vol. 45, issue 132, 185-215

Abstract: This paper investigates the nature of volatility spillovers between stock returns and a number of exchange rates in six Latin American countries and one European economy in the 1998-2006 period. We divide our sample into sub periods, prior to and after th

Keywords: Stock returns; exchange rates; integration; volatility spillovers; EGARCH modelling (search for similar items in EconPapers)
JEL-codes: F37 G15 (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (13)

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Persistent link: https://EconPapers.repec.org/RePEc:ioe:cuadec:v:45:y:2008:i:132:p:185-215

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Latin American Journal of Economics-formerly Cuadernos de Economía is currently edited by Raimundo Soto

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