Browsing Produção Intelectual em Bases Externas by Title "Testing the hypothesis of contagion using multivariate volatility models"

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    • Testing the hypothesis of contagion using multivariate volatility models 

      Marçal, Emerson Fernandes; Pereira, Pedro L. Valls
      2008-11-01
      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 ...