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Testing for financial spillovers in calm and turbulent periods
Aliyu, Shehu U. R.; Abdulsalam, Nafiu B.; Bawa, Sani - In: West African journal of monetary and economic integration 18 (2018) 2, pp. 1-27
It has been established in the literature that volatility of stock returns exhibits complex properties of not only volatility clustering, but also long memory, regime change, and substantial outliers during turbulent and calm periods. Hence, this paper seeks to analyze volatility spillover,...
Persistent link: https://www.econbiz.de/10013348418
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A copula-TGARCH approach of conditional dependence between oil price and stock market index : the case of Mexico
Valdés, Arturo Lorenzo; Armenta Fraire, Leticia; … - In: Estudios económicos 31 (2016) 1, pp. 47-63
Persistent link: https://www.econbiz.de/10011580826
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Volatility dependence structure between the Mexican Stock Exchange and the World Capital Market
López Herrera, Francisco; Santillán Salgado, Roberto … - In: Investigación económica : revista de la Faculdad de … 74 (2015), pp. 69-97
Persistent link: https://www.econbiz.de/10011562925
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Spillovers from the United States to Latin American and G7 stock markets : a VAR quantile analysis
Chuliá, Helena; Guillén, Montserrat; Uribe, Jorge - In: Emerging markets review 31 (2017), pp. 32-46
Persistent link: https://www.econbiz.de/10011803160
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Do domestic sentiment and the spillover of US investor sentiment impact Mexican stock market returns?
Perez Liston, Daniel; Huerta-Sanchez, Daniel; … - In: Journal of emerging market finance 17 (2018), pp. 185-212
Persistent link: https://www.econbiz.de/10011925525
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Is herding present in Latin American equity markets?
Grieb, Terrance; Reyes, Mario Gabriel Carpio - In: The southern business & economic journal 23 (2000) 3, pp. 185-199
Persistent link: https://www.econbiz.de/10001497616
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Sources of Mexican equity volatility
Suarez, Dante; Walz, Daniel T.; Walz, Diane - In: Journal of emerging markets 9 (2004) 2, pp. 5-20
Persistent link: https://www.econbiz.de/10002455152
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Stock market integration in Mexico and Argentina : are short- and long-term considerations different?
Jawadi, Fredj; Arouri, Mohamed; Nguyen, Duc Khuong - In: Applied economics letters 17 (2010) 13/15, pp. 1503-1507
Persistent link: https://www.econbiz.de/10008938896
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Simultaneous stochastic volatility transmission across American equity markets
Weber, Enzo - In: The quarterly review of economics and finance : journal … 53 (2013) 1, pp. 53-60
Persistent link: https://www.econbiz.de/10009721374
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A switching ARCH (SWARCH) model of stock market volatility : some evidence from Latin America
Canarella, Giorgio; Pollard, Stephen K. - In: International review of economics : journal of civil economy 54 (2007) 4, pp. 445-462
Persistent link: https://www.econbiz.de/10003662534