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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Fleischer, P., Maller, R.A. and Müller, G. 
Titel:
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...    »
 
Stichworte:
North American Free Trade Agreement (NAFTA); Information and Volatility Linkages; Volatility Correlations; Markov Chain Monte Carlo; Equity Market Returns; C11; C32; F13 
Zeitschriftentitel:
Journal of Economics and Finance 
Jahr:
2011 
Band / Volume:
35 
Heft / Issue:
Seitenangaben Beitrag:
123-148 
Reviewed:
ja 
Sprache:
en 
Status:
Verlagsversion / published 
TUM Einrichtung:
Lehrstuhl für Mathematische Statistik 
Format:
Text