Series: IMF Working Papers
Author(s): Guglielmo Caporale , Marianne Schulze-Ghattas , John Beirne , and Nicola Spagnolo
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 December 2008
Keywords: Volatility spillovers, Contagion, correlations, stock market, emerging stock markets, financial contagion,
This paper examines volatility spillovers from mature to emerging stock markets and tests for changes in the transmission mechanism-contagion-during turbulences in mature markets. Tri-variate GARCH-BEKK models of r...