Arouri, Mohamed El Hédi; Lahiani, Amine; Nguyen, Duc Khuong - In: European Business Review 27 (2015) 2, pp. 161-181
Purpose – This paper aims to investigate the return links and volatility transmission between five major equity markets of the Latin American region and the USA over the period 1993-2012. Design/methodology/approach – The authors employ a multivariate vector autoregressive moving average –...