Stock markets volatility spillovers during financial crises: A DCC-MGARCH with skewed-t density approach

Economics, Econometrics and Finance

• Volatility 100%
• Spillover Effect 50%
• Market 33%
• Financial Crisis 33%
• Emerging Economies 33%
• Return 8%
• ARCH Model 8%
• Capital Market Returns 8%
• Returns Volatility 8%

Social Sciences

• Markets 33%
• Financial Crisis 33%
• Evidence 16%
• Correlation 16%
• Stock Market 16%
• Feature 8%
• Interaction 8%
• Diagnostic 8%
• Behavior 8%