NAFTA stock markets : dynamic return and volatility linkages /

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Canarella, Giorgio
Otros Autores: Miller, Stephen M., 1945-, Pollard, Stephen K.
Formato: Electrónico eBook
Idioma:Inglés
Publicado: New York : Nova Science Publishers, ©2010.
Colección:Economic issues, problems and perspectives series.
Temas:
Stock exchanges > North America.
Stocks > Rate of return.
Bourse > Amérique du Nord.
Actions (Titres de société) > Taux de rendement.
BUSINESS & ECONOMICS > Investments & Securities.
Stock exchanges.
North America.
Acceso en línea:Texto completo
Tabla de Contenidos:
  • 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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