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Canarella, Giorgio.

NAFTA Stock Markets : Dynamic Return and Volatility Linkages. - 1st ed. - 1 online resource (161 pages) - Economic Issues, Problems and Perspectives . - Economic Issues, Problems and Perspectives .

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.

ISBN: 9781612094113

Subjects--Topical Terms:
Stock exchanges -- North America.
Stocks -- Rate of return.

Index Terms--Genre/Form:
Electronic books.

LC Class. No.: HG4901 -- .C36 2010eb

Dewey Class. No.: 332.64/27