User: Guest  Login
Document type:
Zeitschriftenaufsatz 
Author(s):
Fleischer, P., Maller, R.A. and Müller, G. 
Title:
A Bayesian analysis of market information linkages among NAFTA countries using a multivariate stochastic volatility model 
Abstract:
NAFTA has arguably been the most important and elaborate free-trade agreement in history, providing a blueprint for potential new agreements. So far, the evidence is mixed as to whether NAFTA has been successful in terms of its economic impact. We fit a multivariate stochastic volatility model that directly measures financial information linkages across the three participating countries in a trivariate setting. The model detects significant changes in information linkages across the countries fr...    »
 
Keywords:
North American Free Trade Agreement (NAFTA); Information and Volatility Linkages; Volatility Correlations; Markov Chain Monte Carlo; Equity Market Returns; C11; C32; F13 
Journal title:
Journal of Economics and Finance 
Year:
2011 
Journal volume:
35 
Journal issue:
Pages contribution:
123-148 
Reviewed:
ja 
Language:
en 
Status:
Verlagsversion / published 
TUM Institution:
Lehrstuhl für Mathematische Statistik 
Format:
Text