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dc.contributor.authorChuliá Soler, Helena-
dc.contributor.authorGuillén, Montserrat-
dc.contributor.authorUribe Gil, Jorge Mario-
dc.description.abstractWe estimate multivariate quantile models to measure the responses of the six main Latin American (LA) stock markets to a shock in the United States (US) stock index. We compare the regional responses with those of seven developed markets. In general, we document weaker tail-codependences between the US and LA than those between the US and the mature markets. Our results suggest possible diversification strategies that could be exploited by investing in Latin America following a sizable shock to the US market. We also document asymmetrical responses to the shocks depending on the conditioning quantile at which they are calculated. (C) 2017 Elsevier B.V. All rights reserved.-
dc.format.extent15 p.-
dc.publisherElsevier B.V.-
dc.relation.isformatofVersió postprint del document publicat a:
dc.relation.ispartofEmerging Markets Review, 2017, vol. 31, num. June, p. 32-46-
dc.rightscc-by-nc-nd (c) Elsevier B.V., 2017-
dc.sourceArticles publicats en revistes (Econometria, Estadística i Economia Aplicada)-
dc.subject.classificationRisc (Economia)-
dc.subject.classificationAnàlisi de regressió-
dc.subject.classificationPaïsos emergents-
dc.subject.classificationMercat financer-
dc.subject.otherRegression analysis-
dc.subject.otherBRIC countries-
dc.subject.otherFinancial market-
dc.titleSpillovers from the United States to Latin American and G7 stock markets: A VAR quantile analysis-
Appears in Collections:Articles publicats en revistes (Econometria, Estadística i Economia Aplicada)

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