Abstract:We test for volatility transmission between US and the six largest Latin American stock markets (Argentina, Brazil, Chile, Colombia, Mexico and Peru) using MGARCH-BEKK models in daily frequency from March 1993 to March 2013. As expected, we find strong evidence of volatility transmission from US to the Latin American markets but not so in the opposite direction. Testing the hypothesis of decoupling between US and Brazil and Mexico the evidence goes against it: the conditional correlations between US and the tw… Show more
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