Volatility, diversification and contagion

• Enrique Sentana ^[1]
  1. [1] CEMFI
• Localización: Documentos de Trabajo ( CEMFI ), Nº. 3 (CEMFI Working Paper No. 1803, March 2018), 2018
• Idioma: inglés
• Enlaces
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• Resumen

  • In this paper I describe in detail the concepts of volatility, diversification and contagion, three basic keys to understand the seemingly whimsical behaviour of financial markets. The presentation is deliberately non-technical and largely self-contained, with most required concepts defined along the way. Nevertheless, the analysis is mostly empirically oriented, with an emphasis on the methods that have been proposed to measure those concepts and a discussion of the stylised facts that the resulting measures imply. I also use those measures to study the effects of the financial crisis of 2007-2008 and the euro sovereign debt crisis of 2010-2012 on Spain.