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| Author: | Ortiz, E. Arjona, E. |
| Title: | Heterokedastic behavior of the Latin American emerging stock markets |
| Journal: | International Review of Financial Analysis
2001 : VOL. 10:3, p. 287-305 |
| Index terms: | EMERGING MARKETS HETEROSCEDASTICITY STOCK MARKETS LATIN AMERICA |
| Language: | eng |
| Abstract: | This work analyzes the time series characteristics of six major Latin American equity markets: Argentina, Brazil, Chile, Colombia, Mexico and Venezuela. Non linear dependency and autoregressive conditional heteroskedasticity are studied. |
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