| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 963409 | Journal of International Financial Markets, Institutions and Money | 2013 | 18 Pages |
Abstract
⺠Models the dynamics surrounding international bonds within Latin America using Johansen's and a modified three-step procedure. ⺠Accounts for common volatility across markets within the region. ⺠Generates portfolio adjustment weights. ⺠Provides insights into the nature of sovereign linkages of international bonds with varying maturities more specifically. ⺠the manner in which sovereign linkages evolve and the required portfolio adjustments when there is a credit event in the region.
Keywords
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Economics and Econometrics
Authors
Kannan Thuraisamy, Gerard Gannon,