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Record Nr. |
UNINA9910967793403321 |
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Autore |
Canarella Giorgio |
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Titolo |
NAFTA stock markets : dynamic return and volatility linkages / / Giorgio Canarella, Stephen M. Miller and Stephen K. Pollard |
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Pubbl/distr/stampa |
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New York, : Nova Science Publishers, c2010 |
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ISBN |
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Edizione |
[1st ed.] |
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Descrizione fisica |
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1 online resource (161 p.) |
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Collana |
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Economic issues, problems and perspectives series |
Novinka |
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Altri autori (Persone) |
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MillerStephen M. <1945-> |
PollardStephen K |
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Disciplina |
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Soggetti |
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Stock exchanges - North America |
Stocks - Rate of return |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Note generali |
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Description based upon print version of record. |
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Nota di bibliografia |
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Includes bibliographical references and index. |
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Nota di contenuto |
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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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Sommario/riassunto |
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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. |
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