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NAFTA stock markets : dynamic return and volatility linkages / Giorgio Canarella, Stephen M. Miller and Stephen K. Pollard.
- Format:
- Book
- Author/Creator:
- Canarella, Giorgio.
- Series:
- Economic Issues, Problems and Perspectives
- Economic issues, problems and perspectives series
- Novinka
- Language:
- English
- Subjects (All):
- Stock exchanges--North America.
- Stock exchanges.
- Stocks--Rate of return.
- Stocks.
- Physical Description:
- 1 online resource (161 p.)
- Edition:
- 1st ed.
- Place of Publication:
- New York : Nova Science Publishers, c2010.
- Language Note:
- English
- Summary:
- This research explores the dynamic linkages that portray different facets of the joint probability distribution of stock market returns in the North American Free Trade Area (NAFTA) - Canada, Mexico, and the US.
- Contents:
- Intro
- NAFTA STOCK MARKETS: DYNAMIC RETURN AND VOLATILITY LINKAGES
- CONTENTS
- ABSTRACT
- INTRODUCTION
- EXISTING EMPIRICAL ANALYSIS OF NAFTA STOCK MARKETS
- DATA AND DESCRIPTIVE STATISTICS
- COINTEGRATION ANALYSES
- 4.1. THE JOHANSEN MULTIVARIATE APPROACH
- 4.2. EMPIRICAL RESULTS
- 4.3. RECURSIVE COINTEGRATION ANALYSIS
- 4.4. ROLLING COINTEGRATION
- 4.5. COINTEGRATION AND STRUCTURAL CHANGE
- 4.6. COINTEGRATION AND THRESHOLD EFFECTS
- GENERALIZED IMPULSE-RESPONSE FUNCTIONS
- THE MULTIVARIATE GARCH: METHOD AND ECONOMETRICS
- 6.1. ISSUES AND STYLIZED FACTS
- 6.2. ECONOMETRIC FRAMEWORK
- The Mean Model
- The Covariance Model
- THE MULTIVARIATE GARCH: ESTIMATION RESULTS
- CONCLUSION
- REFERENCES
- INDEX.
- Notes:
- Description based upon print version of record.
- Includes bibliographical references and index.
- ISBN:
- 1-61209-411-2
- OCLC:
- 699511052
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