Hatemi-J, Prof. Abdulnasser; Sarmiento-Sabogal, Julio … - In: Economia Internazionale / International Economics 66 (2013) 1, pp. 57-67
This paper empirically investigates the effect of returns in the US on the returns in Colombia during the period between the Black Friday and the Mortgage Crisis. Monthly data is used. A new method that is robust to non-normality and time-varying volatility is applied. Our empirical findings...