Dynamic Stock Dependence and Monetary Variables in the United States (2000-2016): A Copula and Neural Network Approach
This paper investigates dynamic dependence between the American Stock Market (S&P 500) and the World Share Market (MSCIW) and examines whether key monetary variables (short and long-term interest rates, interest rate spreads, and exchange rate) explain changes in this relation, during the period...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Universidad de Antioquia
2022-02-01
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| Series: | Lecturas de Economía |
| Subjects: | |
| Online Access: | https://revistas.udea.edu.co/index.php/lecturasdeeconomia/article/view/345321 |