Since 2014
Modelos de Corrección de Error no Lineal entre Mercados Accionarios Latinoamericanos y el Mercado Accionario de Estados Unidos
Economic Analysis Review
View Archive Info| Field | Value | |
| Title |
Modelos de Corrección de Error no Lineal entre Mercados Accionarios Latinoamericanos y el Mercado Accionario de Estados Unidos
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| Creator |
Valdés, Arturo Lorenzo
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| Description |
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 |
Universidad Alberto Hurtado - Facultad de Economía y Negocios
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| Contributor |
—
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| Date |
2010-03-02
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion — — |
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| Format |
application/pdf
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| Identifier |
http://www.rae-ear.org/index.php/rae/article/view/56
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| Source |
Revista de Análisis Económico - Economic Analysis Review; Vol 21, No 1 (2006); 117-129
Revista de Análisis Económico – Economic Analysis Review; Vol 21, No 1 (2006); 117-129 0718-8870 0716-5927 |
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| Language |
spa
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| Relation |
http://www.rae-ear.org/index.php/rae/article/view/56/109
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