Diebold, Francis X.; Yilmaz, Kamil - In: Journal Economía Chilena (The Chilean Economy) 12 (2009) 2, pp. 55-65
Using a recently-developed measure of financial market spillovers, we provide an empirical analysis of return and volatility spillovers among five equity markets in the Americas: Argentina, Brazil, Chile, Mexico and the U.S. The results indicate that both return and volatility spillovers vary...
