search query: @author Christofi, A. / total: 2
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| Author: | Christofi, A. Pericli, A. |
| Title: | Correlation in price changes and volatility of major Latin American stock markets |
| Journal: | Journal of Multinational Financial Management
1999 : JAN, VOL. 9:1, p. 79-93 |
| Index terms: | PRICE LEVEL LATIN AMERICA STOCK MARKETS |
| Language: | eng |
| Abstract: | This paper seeks to investigate the short-run dynamics between five major Latin American stock markets (Argentina, Brazil, Chile, Colombia and Mexico). Unlike previous research on these markets, the joint distribution of stock returns is estimated as a vector autoregression (VAR) with innovations following an exponential GARCH process. The study is carried out using closing stock market prices covering the period 25 May 1992 to 16 May 1997. |
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