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Modelos de corrección de error no lineal entre mercados accionarios latinoamericanos y el mercado accionario de Estados Unidos

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Author Info
Arturo Lorenzo Valdés () (Instituto Tecnológico y de Estudios Superiores de Monterrey, México.)
Abstract

The intention of the present work is to evaluate long-run relations in the stock markets of six Latin American countries (Argentina, Brazil, Chile, Colombia, Mexico and Peru) and the United States stock market, by means of a model in which a cointegration relation exists between the principals prices stock indexes but allowing that the movements towards the long-run equilibrium only happen in some periods. For the previous thing threshold autoregressive models are considered. The idea is that the movements towards the long-run equilibrium need not occur every period but in a specific regime. We find that the specification is better in nonlinear than linear models and the cointegration relation only appears in four of the six analyzed Latin American countries

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Publisher Info
Article provided by Ilades-Georgetown University, Economics Department in its journal Revista de Analisis Economico.

Volume (Year): 21 (2006)
Issue (Month): 1 (July)
Pages: 117-129
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Handle: RePEc:ila:anaeco:v:21:y:2006:i:1:p:117-129

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Related research
Keywords: Cointegration; Asset Returns; Dynamic Nonlinear; SETAR Models;

Find related papers by JEL classification:
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions
G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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  1. Bruce E. Hansen, 2000. "Sample Splitting and Threshold Estimation," Econometrica, Econometric Society, vol. 68(3), pages 575-604, May.
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This page was last updated on 2009-10-30.

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