STRUCTURAL BREAKS AND FINANCIAL VOLATILITY: LESSONS FROM THE BRIC COUNTRIES

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. pp. 67–91
JEL codes: N2; O16; D53

Keywords: BRIC; ICSS; GARCH; T-GARCH; financial volatility

How to cite: Morales, Lucia, and Esmeralda Gassie-Falzone (2014), “Structural Breaks and Financial Volatility: Lessons from the BRIC Countries,” Economics, Management, and Financial Markets 9(4): 67–91.