Dufrénot, Gilles; Mignon, Valérie; Péguin-Feissolle, Anne - In: Revue économique 62 (2011) 3, pp. 461-470
The aim of this article is to study and quantify the transmission channels between the American and Mexican stock markets in the aftermath of the subprime crisis. To this end, we use a time-varying transition probability Markov-switching model, in which ?crisis? and ?non-crisis? periods are...