المؤلفون: Sosa Castro, Miriam, Cabello, Alejandra, Ortiz, Edgar

المصدر: Contaduría y administración, ISSN 2448-8410, Vol. 69, Nº. 1, 2024, pags. 276-300

مصطلحات موضوعية: portafolios condicionales, mercado integrado latinoamericano, modelos GARCH, modelos de correlación condicional dinámica, conditional portfolios, Latin American integrated market, GARCH models, dynamic conditional correlation model

وصف الملف: application/pdf

العلاقة: https://dialnet.unirioja.es/servlet/oaiart?codigo=9355297Test; (Revista) ISSN 0186-1042; (Revista) ISSN 2448-8410

الإتاحة: https://dialnet.unirioja.es/servlet/oaiart?codigo=9355297Test

المؤلفون: Muñoz-Henríquez, Erik M., Gálvez-Gamboa, Francisco A.

المصدر: Cuadernos de Economía; Vol. 40 Núm. 85 (2021): Crisis del COVID-19: Impactos socioeconómicos y retos para países Latinoamericanos. ; Cuadernos de Economía; v. 40 n. 85 (2021): Crisis del COVID-19: Impactos socioeconómicos y retos para países Latinoamericanos. ; Cuadernos de Economía; Vol. 40 No. 85 (2021): Crisis del COVID-19: Impactos socioeconómicos y retos para países Latinoamericanos. ; 2248-4337 ; 0121-4772

مصطلحات موضوعية: COVID-19, Correlación Condicional Dinámica, Volatilidad, Latinoamérica, Mercados Financieros, Economia, Economía, Dynamic Conditional Correlation, Volatility, Latin America, Financial Markets

وصف الملف: application/pdf

العلاقة: https://revistas.unal.edu.co/index.php/ceconomia/article/view/93352/82294Test; Akhtaruzzaman, S. B., & Sensoy, A. (2020). Financial contagion during COVID-19 Crisis. Finance Research Letters, 38, 101604. https://doi.org/10.1016/j.frl.2020.101604Test; Apergis, E., & Apergis, N. (2020). Can the COVID-19 Pandemic and oil prices drive the US partisan conflict index? Energy Research Letters, 1(1), 13144. https://doi.org/10.46557/001c.13144Test; Arouri, M. E. H., Bellalah, M., & Nguyen, D. K. (2010). The comovements in international stock markets. New evidence from Latin American emerging countries. Applied Economics Letters, 17(13), 1323-1328. https://doi.org/10.1080/13504850902967449Test; Ashraf, B. N. (2020). Stock markets’ reaction to COVID-19. Cases or fatalities? Research in International Business and Finance, 54, 101249. https://doi.org/10.1016/j.ribaf.2020.101249Test; Baek, S., Mohanty, S. K., & Glambosky, M. (2020). COVID-19 and stock market volatility. An industry level analysis. Finance Research Letters, 37, 101748. https://doi.org/10.1016/j.frl.2020.101748Test; Baker, S. R., Bloom, N., Davis, S. J., Kost, K. J., Sammon M. C., & Viratyosin, T. (2020). The unprecedented stock market impact of COVID-19 (w26945). National Bureau of Economic Research.; Balcilar, M., Hammoudeh, S., & Toparli, E. A. (2018). On the risk spillover across the oil market, stock market, and the oil related CDS sectors. A volatility impulse response approach. Energy Economics, 74, 813-827. https://doi.org/10.1016/j.eneco.2018.07.027Test; Baranidharan, S., & Alex, A. (2020). Volatility spillover of exchange rate on stock market evidence from South Africa. Asian Journal of Economics, Finance and Management, 2(3), 26-34.; Bekaert, G., Ehrmann, M., Fratzscher, M., & Mehl, A. (2014). The global crisis and equity market contagion. Journal of Finance, 69(6), 2597-2649. https://doi.org/10.1111/jofi.122030Test; Bouri, E., Jain, A., Biswal, P. C., & Roubaud, D. (2017). Cointegration and nonlinear causality amongst gold, oil, and the Indian stock market. Evidence from implied volatility indices. Resources Policy, 52, 201-206. https://doi.org/10.1016/j.resourpol.2017.03.003Test; Cappiello, L., Engle, R. F., & Sheppard, K. (2006). Asymmetric dynamics in the correlations of global equity and bond returns. Journal of Financial Econometrics, 4(4), 537-572. https://doi.org/10.1093/jjfinec/nbl005Test; Celık, S. (2012). The more contagion effect on emerging markets. The evidence of DCC-GARCH model. Economic Modelling, 29(5), 1946-1959. https://doi.org/10.1016/j.econmod.2012.06.011Test; Chen, H. C., Chou, R. K., & Lu, C. L. (2018). Saving for a rainy day. Evidence from the 2000 dot-com crash and the 2008 credit crisis. Journal of Corporate Finance, 48, 680-699. https://doi.org/10.1016/j.jcorpfin.2017.12.025Test 14. Chkili, W., & Nguyen, D. K. (2014). Exchange rate movements and stock market returns in a regime-switching environment. Evidence for BRICS countries. Research in International Business and Finance, 31, 46-56. https://doi.org/10.1016/j.ribaf.2013.11.007Test; Chuliá, H., & Torró, H. (2008). The economic value of volatility transmission between the stock and bond market. Journal of Futures Markets, 28(11), 1066-1094. https://doi.org/10.1002/fut.20342Test; Ciner, C. (2020). Stock return predictability in the time of COVID-19. Finance Research Letters, 38, 101705. https://doi.org/10.1016/j.frl.2020.101705Test; Ding, H., Kim, H. G., & Park, S. (2016). Crude oil and stock markets. Causal relationships in tails? Energy Economics, 59, 58-69. https://doi.org/10.1016/j.eneco.2016.07.013Test; Dwita, M. C., Ekaputra, I. A., & Husodo, Z. A. (2020). Are bitcoin and ethereum safe-havens for stocks during the COVID-19 pandemic? Finance Research Letters, 38, 101798. https://doi.org/10.1016/j.frl.2020.101798Test; Engle, R. (2002). Dynamic conditional correlation. A simple class of multivariate generalized autoregressive conditional heteroskedasticity models. Journal of Business & Economic Statistics, 20(3), 339-350.; Forbes, K. J., & Rigobon, R. (2002). No contagion, only interdependence. Measuring stock market comovements. The Journal of Finance, 57(5), 2223-2261. https://doi.org/10.1111/0022-1082.00494Test; Gamba, S., Gómez, J. E., Hurtado J. L., & Melo, L. F. (2017). Stock market volatility spillovers. Evidence for Latin America. Finance Research Letters, 20, 207-216. https://doi.org/10.1016/j.frl.2016.10.001Test; Gil-Alana, L. A., Aikins, E. J., & Romero, M. F. (2020). Cryptocurrencies and stock market indices. Are they related? Research in International Business and Finance, 51, 101063. https://doi.org/10.1016/j.ribaf.2019.101063Test; Griffin, J. M., Harris, J. H., Shu, T., & Topaloglu, S. (2011). Who drove and burst the tech bubble? The Journal of Finance, 66(4), 1251-1290. https://doi.org/10.1111/j.1540-6261.2011.01663.xTest; Grobys, K. (2010). Have volatility spillover effects of cointegrated European stock markets increased over time? The Review of Finance and Banking, 2(2), 83-94.; Gutiérrez, R. J. (2020). ¿Ocurrió efecto contagio en los mercados de acciones de América Latina durante la crisis financiera global? Revista de Métodos Cuantitativos para la Economía y la Empresa, 2, 237-258. https://doi.org/10.46661/revmetodoscuanteconempresa.3312Test; He, P., Sun, Y., Zhang, Y., & Li, T. (2020). COVID-19’s impact on stock prices across different sectors. An event study based on the Chinese stock market. Emerging Markets Finance and Trade, 56(10), 2198-2212. https://doi.org/10.1080/1540496X.2020.1785865Test.; Hirshleifer, D., & Teoh, S. H. (2003). Herd behavior and cascading in capital markets. A Review and synthesis. European Financial Management, 9(1), 25-66. https://doi.org/10.1111/1468-036X.00207Test; Lestari, R. (2020). Analysis of stock market integration among ASEAN countries by using vector error correction model (VECM) approach. Proceeding of Japan International Business and Management Research Conference, 1(1), 69-77. https://doi.org/10.31098/jibm.v1i1.220Test; Loaiza, R. A., Gómez, J. E., & Melo, L. F. (2015). Exchange rate contagion in Latin America. Research in International Business and Finance, 34, 355-367. https://doi.org/10.1016/j.ribaf.2015.02.019Test; Maliszewska, M., Mattoo, A., & van der Mensbrugghe, D. (2020). The potential impact of COVID-19 on GDP and trade. A preliminary assessment. The World Bank.; Mazur, M., Dang, M., & Vega, M. (2020). COVID-19 and the march 2020 stock market crash. Evidence from S&P1500. Finance Research Letters, 38, 101690. https://doi.org/10.1016/j.frl.2020.101690Test; McKibbin, W. J., & Roshen, F. (2020). The global macroeconomic impacts of COVID-19: seven scenarios (Scholarly Paper 3547729). Social Science Research Network.; Mensi, W., Beljid, M., Boubaker, A., & Managi, A. (2013). Correlations and volatility spillovers across commodity and stock markets: Linking energies, food, and gold. Economic Modelling, 32, 15-22. https://doi.org/10.1016/j.econmod.2013.01.023Test; Miller, J. I., & Ratti, R. A. (2009). Crude oil and stock markets: Stability, instability, and bubbles. Energy Economics, 31(4), 559-68. https://doi.org/10.1016/j.eneco.2009.01.009Test; Mota, M. B., & Mata, L. (2017). Volatilidad del mercado integrado latinoamericano. Un enfoque. Estocástica: Finanzas y Riesgo, 7(1), 9-26.; Ortmann, R., Pelster, M., & Wengerek, S. T. (2020). COVID-19 and investor behavior. Finance Research Letters, 37, 101717. https://doi.org/10.1016/j.frl.2020.101717Test; Paucar, G. S. (2020). Efectos de propagación de los mercados financieros estadounidenses en los colombianos. Cuadernos de Economía, 39(81), 667-702. https://doi.org/10.15446/cuad.econ.v39n81.77091Test; Phan, D. H. B., & Narayan, P. K. (2020). Country responses and the reaction of the stock market to COVID-19 —A preliminary exposition. Emerging Markets Finance and Trade, 56(10), 2138-2150. https://doi.org/10.1080/1540496X.2020.1784719Test; Prabheesh, K. P., Garg, B., & Padhan, R. (2020). Time-varying dependence between stock markets and oil prices during COVID-19. The case of net oil-exporting countries. Economics Bulletin, 40(3), 2408-2418.; Syllignakis, M. N., & Kouretas, G. P. (2010). German, U.S., and Central and Eastern European stock market integration. Open Economies Review, 21(4), 607-628. https://doi.org/10.1007/s11079-009-9109-9Test; Syllignakis, M. N., & Kouretas, P. K. (2011). Dynamic correlation analysis of financial contagion. Evidence from the Central and Eastern European markets. International Review of Economics & Finance, 20(4), 717-732. https://doi.org/10.1016/j.iref.2011.01.006Test; Topcu, M., & Gulal, O. S. (2020). The impact of COVID-19 on emerging stock markets. Finance Research Letters, 36, 101691. https://doi.org/10.1016/j.frl.2020.101691Test; Ug˘urlu-Yıldırım, E. (2020). The impact of COVID-19 pandemic on the financial contagion among Turkey, U.S., and China stock markets. Journal of Business Research-Turk, 12(3), 2764-2773. https://doi.org/10.20491/isarder.2020.1006Test; Wen, X., Wei, Y., & Huang, D. (2012). Measuring contagion between energy market and stock market during financial crisis: A copula approach. Energy Economics, 34(5), 1435-1446. https://doi.org/10.1016/j.eneco.2012.06.021Test Efecto contagio del mercado estadounidense a los mercados Erik Muñoz y Francisco Gálvez 1111; World Health Organization –WHO (2020, 11 de marzo). Alocución de apertura del director general de la OMS en la rueda de prensa sobre la COVID-19.; Yang, W., & Allen, D. E. (2005). Multivariate GARCH hedge ratios and hedging effectiveness in Australian futures markets. Accounting & Finance, 45(2), 301-321. https://doi.org/10.1111/j.1467-629x.2004.00119.xTest; https://revistas.unal.edu.co/index.php/ceconomia/article/view/93352Test

الإتاحة: https://doi.org/10.1016/j.econmod.2012.06.011Test
https://doi.org/10.1016/j.frl.2020.101705Test
https://doi.org/10.31098/jibm.v1i1.220Test
https://doi.org/10.15446/cuad.econ.v39n81.77091Test
https://doi.org/10.20491/isarder.2020.1006Test
https://revistas.unal.edu.co/index.php/ceconomia/article/view/93352Test

المؤلفون: Muñoz Henriquez, Erik Mauricio, Gálvez Gamboa, Francisco

المصدر: Cuadernos de economía ( Santafé de Bogotá ), ISSN 0121-4772, Vol. 40, Nº. 85, 2021 (Ejemplar dedicado a: Crisis del COVID-19: Impactos socioeconómicos y retos para países Latinoamericanos.), pags. 1091-1111

مصطلحات موضوعية: COVID-19, correlación condicional dinámica, Latinoamérica, mercados financieros, volatilidad, dynamic conditional correlation, financial markets, Latin America, volatility

وصف الملف: application/pdf

العلاقة: https://dialnet.unirioja.es/servlet/oaiart?codigo=8241278Test; (Revista) ISSN 0121-4772

الإتاحة: https://dialnet.unirioja.es/servlet/oaiart?codigo=8241278Test

المؤلفون: Cruz Aké, Salvador

المصدر: Investigación Económica; Vol. 76 No. 299 (2017); 3-50 ; Investigación Económica; Vol. 76 Núm. 299 (2017); 3-50 ; 0374-5511 ; 0185-1667 ; 10.22201/fe.01851667p.2017.299

مصطلحات موضوعية: Dynamic Conditional Correlation, phase synchronization, energy prices, agricultural foods

وصف الملف: application/pdf

العلاقة: https://www.journals.unam.mx/index.php/rie/article/view/58639/51829Test; https://www.journals.unam.mx/index.php/rie/article/view/58639Test

الإتاحة: https://doi.org/10.22201/fe.01851667p.2017.299Test
https://www.journals.unam.mx/index.php/rie/article/view/58639Test