NAFTA stock markets : dynamic return and volatility linkages / / Giorgio Canarella, Stephen M. Miller and Stephen K. Pollard

• Autore: Canarella Giorgio
• 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.
• Sommario/riassunto: 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.
• Titolo autorizzato: NAFTA stock markets
• ISBN: 1-61209-411-2
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Lingua di pubblicazione: Inglese
• Record Nr.: 9910967793403321
• Lo trovi qui: Univ. Federico II
• Serie: Economic Issues, Problems and Perspectives