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A copula-TGARCH approach of conditional dependence between oil price and stock market index : the case of Mexico
Valdés, Arturo Lorenzo; Armenta Fraire, Leticia; … - In: Estudios económicos 31 (2016) 1, pp. 47-63
Persistent link: https://www.econbiz.de/10011580826
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Volatility dependence structure between the Mexican Stock Exchange and the World Capital Market
López Herrera, Francisco; Santillán Salgado, Roberto … - In: Investigación económica : revista de la Faculdad de … 74 (2015), pp. 69-97
Persistent link: https://www.econbiz.de/10011562925
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Markov switching international capital asset pricing model, an emerging market case : Mexico
Valencia-Herrera, Humberto; López Herrera, Francisco - In: Journal of emerging market finance 17 (2018) 1, pp. 96-129
Persistent link: https://www.econbiz.de/10011875622
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Do domestic sentiment and the spillover of US investor sentiment impact Mexican stock market returns?
Perez Liston, Daniel; Huerta-Sanchez, Daniel; … - In: Journal of emerging market finance 17 (2018), pp. 185-212
Persistent link: https://www.econbiz.de/10011925525
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The curse of non-investment grade countries
Rigobón, Roberto - In: Journal of development economics 69 (2002) 2, pp. 423-449
Persistent link: https://www.econbiz.de/10001713161
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The curse of non-investment grade countries
Rigobón, Roberto - 2001
Persistent link: https://www.econbiz.de/10001630040
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Anomalies in emerging markets : the case of Mexico
Diaz-Ruiz, Polux; Herrerias, Renata; Vasquez, Aurelio - In: The North American journal of economics and finance : a … 53 (2020), pp. 1-22
Persistent link: https://www.econbiz.de/10012632202
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The Curse of Non-Investment Grade Countries
Rigobon, Roberto - 2001
Mexico was upgraded from non-investment to investment grade in March of 2000. This paper examines the impact of this … event on the properties of the transmission of shocks between Argentina and Mexico. The paper shows that there is a …
Persistent link: https://www.econbiz.de/10012470080
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Asymmetric volatility effects in risk management: an empirical analysis using a stock index futures
Benavides, Guillermo - 2020
In this research paper ARCH-type models and option implied volatilities (IV) are applied in order to estimate the Value-at-Risk (VaR) of a stock index futures portfolio for several time horizons. The relevance of the asymmetries in the estimated volatility estimation is considered. The empirical...
Persistent link: https://www.econbiz.de/10012292347