Asymmetric effects and long memory in dynamic volatility relationships between stock returns and exchange rates
Year of publication: |
2012
|
---|---|
Authors: | Chkili, Walid ; Aloui, Chaker ; Nguyen, Duc Khuong |
Published in: |
Journal of International Financial Markets, Institutions and Money. - Elsevier, ISSN 1042-4431. - Vol. 22.2012, 4, p. 738-757
|
Publisher: |
Elsevier |
Subject: | Asymmetry | Long memory | FIGARCH | FIAPARCH | Stock returns | Exchange rates |
-
Chkili, Walid, (2012)
-
TESTING FOR LONG MEMORY IN VOLATILITY IN THE INDIAN FOREX MARKET
Kumar, Anoop S., (2014)
-
Forecasting exchange rates : an investor perspective
Melvin, Michael, (2013)
- More ...
-
Chkili, Walid, (2014)
-
Chkili, Walid, (2012)
-
Chkili, Walid, (2014)
- More ...