Rotta, Pedro Nielsen; Pereira, Pedro Luiz Valls - Escola de Economia de São Paulo (EESP), Fundação … - 2013
Over the last decades, the analysis of the transmissions of international nancial events has become the subject of many academic studies focused on multivariate volatility models volatility. The goal of this study is to evaluate the nancial contagion between stock market returns. The econometric...