Caporale, Guglielmo Maria; Hunter, John; Menla Ali, Faek - In: International Review of Financial Analysis 33 (2014) C, pp. 87-103
This study examines the nature of the linkages between stock market prices and exchange rates in six advanced economies, namely the US, the UK, Canada, Japan, the euro area, and Switzerland, using data on the banking crisis between 2007 and 2010. Bivariate UEDCC-GARCH models are estimated...
