A Bayesian analysis of market information linkages among NAFTA countries using a multivariate stochastic volatility model

Petra Fleischer (), Ross Maller () and Gernot Müller ()

Journal of Economics and Finance, 2011, vol. 35, issue 2, 123-148

Keywords: North American Free Trade Agreement (NAFTA); Information and Volatility Linkages; Volatility Correlations; Markov Chain Monte Carlo; Equity Market Returns; C11; C32; F13 (search for similar items in EconPapers)
Date: 2011
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DOI: 10.1007/s12197-009-9086-2

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