Diamandis, Panayiotis F. - In: Global Finance Journal 20 (2009) 1, pp. 13-30
This paper examines long-run relationships between four Latin America stock markets and a mature stock market that of the US. We estimate both the autoregressive and moving average representations of a VAR model as suggested by Johansen [Johansen, S. (1988). Statistical analysis of cointegrating...