NAFTA Stock Markets
Dynamic Return & Volatility Linkages
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. Our examination of interactions of the NAFTA stock markets considers three issues. First, the authors examine the long-run relationship between the three markets, using cointegration techniques. Second, they evaluate the dynamic relationships between the three markets, using impulse-response analysis. Finally, they explore the volatility transmission process between the three markets, using a multivariate generalised auto-regressive…
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Produktdetails
Weitere Autoren: Miller, Stephen M / Pollard, Stephen K
- ISBN: 978-1-60876-498-3
- EAN: 9781608764983
- Produktnummer: 17688566
- Verlag: Nova Science Publishers Inc
- Sprache: Englisch
- Erscheinungsjahr: 2010
- Seitenangabe: 151 S.
- Masse: H23.6 cm x B15.7 cm x D1.5 cm 368 g
- Abbildungen: tables & graphs
- Gewicht: 368
- Sonstiges: Tertiary Education (US: College)
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