A Bayesian Analysis of Market Information Linkages among NAFTA Countries using a Multivariate Stochastic Volatility Model
-
Altmetric Citations
Fleischer, Petra; Maller, Ross; Muller, Gernot
Description
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...[Show more]
Collections | ANU Research Publications |
---|---|
Date published: | 2009 |
Type: | Journal article |
URI: | http://hdl.handle.net/1885/36215 |
Source: | Journal of Economics and Finance |
DOI: | 10.1007/s12197-009-9086-2 |
Download
File | Description | Size | Format | Image |
---|---|---|---|---|
01_Fleischer_A_Bayesian_Analysis_of_Market_2009.pdf | 647.7 kB | Adobe PDF | Request a copy |
Items in Open Research are protected by copyright, with all rights reserved, unless otherwise indicated.
Updated: 17 November 2022/ Responsible Officer: University Librarian/ Page Contact: Library Systems & Web Coordinator