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Comovements and Contagion in Emergent Markets: Stock Indexes Volatilities · Study

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ChapterComovements and Contagion in Emergent Markets: Stock Indexes Volatilities

Hedibert F. Lopes2002

Chapter2002

Comovements and Contagion in Emergent Markets: Stock Indexes Volatilities

Hedibert F. Lopes · Hélio S. Migon

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Financial Risk and Volatility Modeling Market Dynamics and Volatility Complex Systems and Time Series Analysis

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References

1998Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models 1994Multivariate Stochastic Variance Models 1996Statistical aspects of ARCH and stochastic volatility 1989The dynamics of exchange rate volatility: A multivariate latent factor ARCH model 2000Bayesian Dynamic Factor Models and Portfolio Allocation 1997Time Series Models in Econometrics, Finance and Other Fields 2000Contagion in Latin America: Definitions, Measurement, and Policy Implications 1999Time-Varying Covariances: A Factor Stochastic Volatility Approach

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2015Analysis of contagion from the dynamic conditional correlation model with Markov Regime switching

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Year2002

Typechapter

Published2002-01-01

VenueLecture notes in statistics

ISSN-L0930-0325

Languageen

Citations31

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ShelfFinancial Risk and Volatility Modeling

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doi10.1007/978-1-4612-2078-7_14

openalex_workW2290728186

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