A Bayesian analysis of market information linkages among NAFTA countries using a multivariate stochastic volatility model
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- Rothonis, Stephanie & Tran, Duy & Wu, Eliza, 2016. "Does national culture affect the intensity of volatility linkages in international equity markets?," Research in International Business and Finance, Elsevier, vol. 36(C), pages 85-95.
More about this item
KeywordsNorth American Free Trade Agreement (NAFTA); Information and Volatility Linkages; Volatility Correlations; Markov Chain Monte Carlo; Equity Market Returns; C11; C32; F13;
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- F13 - International Economics - - Trade - - - Trade Policy; International Trade Organizations
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