NAFTA Stock Markets : Dynamic Return and Volatility Linkages.
Giorgio. Canarella
Bok Engelsk 2010 · Electronic books.
| Omfang | 1 online resource (161 pages)
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| Utgave | 1st ed.
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| Opplysninger | Intro -- NAFTA STOCK MARKETS: DYNAMIC RETURN AND VOLATILITY LINKAGES -- 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.
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| Emner | |
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| Dewey | |
| ISBN | 9781612094113
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| ISBN(galt) |
