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Title:

A Bayesian analysis of market information linkages among NAFTA countries using a multivariate stochastic volatility model

Document type:
Zeitschriftenaufsatz
Author(s):
Fleischer, P., Maller, R.A. and Müller, G.
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:
2
Pages contribution:
123-148
Reviewed:
ja
Language:
en
Fulltext / DOI:
doi:10.1007/s12197-009-9086-2
Status:
Verlagsversion / published
TUM Institution:
Lehrstuhl für Mathematische Statistik
Format:
Text
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