Interdependence of NAFTA capital markets: A minimum variance portfolio approach

Interdependence of NAFTA capital markets: A minimum variance portfolio approach

We estimate the long-run relationships among NAFTA capital market returns and then calculate the weights of a “time-varying minimum variance portfolio” that includes the Canadian, Mexican, and USA capital markets between March 2007 and March 2009, a period of intense turbulence in internati...

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Bibliographic Details
Main Authors:	López-Herrera Francisco, Santillán-Salgado Roberto J., Ortiz Edgar
Format:	Article
Language:	English
Published:	Economists' Association of Vojvodina 2014-01-01
Series:	Panoeconomicus
Subjects:	NAFTA stock markets international diversification financial integration optimal portfolios
Online Access:	http://www.doiserbia.nb.rs/img/doi/1452-595X/2014/1452-595X1406691L.pdf

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