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U.S. and Latin American stock market linkages · Study

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ArticleU.S. and Latin American stock market linkages

Abdelmounaim Lahrech2011

Article2011

U.S. and Latin American stock market linkages

Abdelmounaim Lahrech · Kevin Sylwester

113 citations·0/0 files stored·Journal of International Money and Finance

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Financial Risk and Volatility Modeling Global Financial Crisis and Policies Market Dynamics and Volatility

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References

1986Generalized autoregressive conditional heteroskedasticity 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 2002Dynamic Conditional Correlation 1988Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances 1982The stochastic behavior of common stock variances Value, leverage and interest rate effects 1995Time‐Varying World Market Integration

Cited by

2024Impact of Environmental, Social and Governance ( ESG) disclosure on firm risk: A meta‐analytical review 2014Dynamic stock–bond return correlations and financial market uncertainty 2014Dynamic transmissions between the U.S. and equity markets in the MENA countries: New evidence from pre- and post-global financial crisis 2016Volatility transmission between US and Latin American stock markets: Testing the decoupling hypothesis 2017

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Year2011

Typearticle

Published2011-07-23

VenueJournal of International Money and Finance

ISSN-L0261-5606

Languageen

Citations113

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jimonfin.2011.07.004

openalex_workW2090942787

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A global network topology of stock markets: Transmitters and receivers of spillover effects

2017Spillovers from the United States to Latin American and G7 stock markets: A VAR quantile analysis

2014Volatility and dynamic conditional correlations of worldwide emerging and frontier markets

2017Return spillovers around the globe: A network approach