| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 964131 | Journal of International Money and Finance | 2011 | 17 Pages |
Abstract
⺠We estimate dynamic conditional correlations to model equity co-movements between the U.S. and Argentina, Brazil, Chile, and Mexico. ⺠We then apply a smooth transition model to find dates and durations of transitions when greater co-movement occurred. ⺠Brazil had longest transition and Argentina the shortest. ⺠Mexican equities had the greatest co-movement with U.S. equities but showed the smallest increase since 1988. ⺠Argentina and Chile showed the least co-movement.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Abdelmounaim Lahrech, Kevin Sylwester,