Testing the Hypothesis of Contagion using Multivariate Volatility Models

Marçal, Emerson F. and Valls Pereira, Pedro L. (2008): Testing the Hypothesis of Contagion using Multivariate Volatility Models. Published in: Brazilian Review of Econometrics , Vol. 28, No. 2 (November 2008): pp. 21-34.

Abstract

The aim of this paper is to test whether or not there was evidence of contagion across the various financial crises that assailed some countries in the 1990s. Data on sovereign debt bonds for Brazil, Mexico, Russia and Argentina were used to implement the test. The contagion hypothesis is tested using multivariate volatility models. If there is any evidence of structural break in volatility that can be linked to financial crises, the contagion hypothesis will be confirmed. Results suggest that there is evidence in favor of the contagion hypothesis

• Item Type: MPRA Paper
• Language: English
• Keywords: Contagion, Multivariate Volatility Models
• Subjects: C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models; G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets

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