...Felipe Vieira Passos; Julio Cesar Albuquerque Bastos Purpose This paper analyzes conditional correlations and volatility transmission between Latin American and US stock markets during the pre- and post-COVID-19 periods. Design/methodology/approach The study employs a range of econometric...

.../methodology/approach – The paper uses a multivariate model with leptokurtic distribution which allows for both return asymmetry and fat tails. The paper also derives from the model the conditional correlation between stock markets and examines the impact of the global financial crisis of 2008...