NAFTA Stock Markets : Dynamic Return and Volatility Linkages.
Material type:
- text
- computer
- online resource
- 9781612094113
- 332.64/27
- HG4901 -- .C36 2010eb
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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Electronic reproduction. Ann Arbor, Michigan : ProQuest Ebook Central, 2024. Available via World Wide Web. Access may be limited to ProQuest Ebook Central affiliated libraries.
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