TESTANDO A HIPÓTESE DE CONTÁGIO A PARTIR DE MODELOS MULTIVARIADOS DE VOLATILIDADE

Testing the contagion hypotheses using multivariate volatility models

Emerson Fernandes Marçal () and Pedro L. Valls Pereira ()

MPRA Paper from University Library of Munich, Germany

Abstract: This aim of this paper is to test whether or not there was evidence of financial crises ‘contagion’. The sovereignty debt bonds data for Brazil, Mexico, Russia and Argentine were used to implement such test. The ‘contagion’ hypothesis is tested using multivariate volatility models. It’s considered evidence in favor of ‘contagion’ hypothesis if there is indication of structural instability that can be linked in any sense to one financial crisis. The result suggests that there is evidence in favor of ‘contagion’ hypothesis

Keywords: Contagion; Multivariate Volatility Models (search for similar items in EconPapers)
JEL-codes: C32 G15 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ets
Date: 2008-09-08
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Persistent link: http://EconPapers.repec.org/RePEc:pra:mprapa:10356

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