Browsing División de Ciencias Básicas e Ingeniería by Subject "Volatilidad asimétrica, GARCH, TARCH, TLCAN, crisis financiera, NAFTA, financial crisis, leverage effect."
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Global Financial Crisis Volatility Impact and Contagion Effect on NAFTA Equity Markets
(Universidad Autónoma Metropolitana (México). Unidad Azcapotzalco., 2017)The aim of this paper is to analyze the contagion effect and the impact of the global financial crisis in NAFTA bloc stock markets´ volatility, using rolling window correlation and a GARCH approach. Once the contagion ...