NAFTA stock markets : dynamic return and volatility linkages / / Giorgio Canarella, Stephen M. Miller and Stephen K. Pollard
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| Autore: |
Canarella Giorgio
|
| Titolo: |
NAFTA stock markets : dynamic return and volatility linkages / / Giorgio Canarella, Stephen M. Miller and Stephen K. Pollard
|
| Pubblicazione: | New York, : Nova Science Publishers, c2010 |
| Edizione: | 1st ed. |
| Descrizione fisica: | 1 online resource (161 p.) |
| Disciplina: | 332.64/27 |
| Soggetto topico: | Stock exchanges - North America |
| Stocks - Rate of return | |
| Altri autori: |
MillerStephen M. <1945->
PollardStephen K
|
| Note generali: | Description based upon print version of record. |
| Nota di bibliografia: | Includes bibliographical references and index. |
| Nota di contenuto: | 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. |
| Titolo autorizzato: | NAFTA stock markets |
| ISBN: | 1-61209-411-2 |
| Formato: | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione: | Inglese |
| Record Nr.: | 9910824499103321 |
| Lo trovi qui: | Univ. Federico II |
| Opac: | Controlla la disponibilità qui |
Serie:
Economic Issues, Problems and Perspectives