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STRUCTURAL BREAKS AND FINANCIAL VOLATILITY: LESSONS FROM THE BRIC COUNTRIES

STRUCTURAL BREAKS AND FINANCIAL VOLATILITY: LESSONS FROM THE BRIC COUNTRIES Little empirical research has examined volatility spillovers between oil prices and emerging economies. This lack of research might appear as surprising as the energy markets are a fundamental reference for economic growth. This article aims at looking at the BRIC financial markets and their movements with regards to energy markets (oil, natural gas and electricity) and to US stock returns fluctuations. JEL codes: N2; O16; D53 Keywords: BRIC; ICSS; GARCH; T-GARCH; financial volatility http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Economics, Management, and Financial Markets Addleton Academic Publishers

STRUCTURAL BREAKS AND FINANCIAL VOLATILITY: LESSONS FROM THE BRIC COUNTRIES

LUCIA MORALES
Economics, Management, and Financial Markets , Volume 9 (4): 25 – Jan 1, 2014
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Publisher
Addleton Academic Publishers
Copyright
© 2009 Addleton Academic Publishers
ISSN
1842-3191
eISSN
1938-212X
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Abstract

Little empirical research has examined volatility spillovers between oil prices and emerging economies. This lack of research might appear as surprising as the energy markets are a fundamental reference for economic growth. This article aims at looking at the BRIC financial markets and their movements with regards to energy markets (oil, natural gas and electricity) and to US stock returns fluctuations. JEL codes: N2; O16; D53 Keywords: BRIC; ICSS; GARCH; T-GARCH; financial volatility

Journal

Economics, Management, and Financial Markets – Addleton Academic Publishers

Published: Jan 1, 2014

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