Caporale, Guglielmo Maria; Schulze-Ghattas, Marianne; … - International Monetary Fund (IMF) - 2008
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 returns in global (mature), regional, and local markets are estimated for 41...