NAFTA STOCK MARKETS: DYNAMIC RETURN AND VOLATILITY LINKAGES; NAFTA STOCK MARKETS: DYNAMIC RETURN AND VOLATILITY LINKAGES; CONTENTS ; ABSTRACT ; INTRODUCTION; EXISTING EMPIRICAL ANALYSIS OF NAFTA STOCK MARKETS ; DATA AND DESCRIPTIVE STATISTICS ; COINTEGRATION ANALYSES ; 4.1. THE JOHANSEN MULTIVARIATE APPROACH ; 4.2. EMPIRICAL RESULTS; 4.3. RECURSIVE COINTEGRATION ANALYSIS ; 4.4. ROLLING COINTEGRATION ; 4.5. COINTEGRATION AND STRUCTURAL CHANGE ; 4.6. COINTEGRATION AND THRESHOLD EFFECTS; GENERALIZED IMPULSE-RESPONSE FUNCTIONS ; THE MULTIVARIATE GARCH: METHOD AND ECONOMETRICS
6.1. ISSUES AND STYLIZED FACTS 6.2. ECONOMETRIC FRAMEWORK ; The Mean Model ; The Covariance Model ; THE MULTIVARIATE GARCH: ESTIMATION RESULTS ; CONCLUSION ; REFERENCES; INDEX
