We lay out an empirical and a theoretical model to analyze the effects of non-fundamental exchange rate volatility on … of the conditional exogenous exchange rate volatility on the conditional mean of the endogenous variables in our open … economy VAR. Our results for Canada, Germany and UK indicate that the effects of exchange rate uncertainty are small …

This study is based on examining the relationship between stock exchange market volatility and macroeconomic variables … volatility with respect to Pakistan. To measure this time series relationship for Pakistan Exponential Generalized Autoregressive … relationship of CPI and FDI with stock market; however ER and TBR are inversely related to sock market volatility. On the other …

The key objective of this study is to investigate the return and volatility spillover effects among stock market … trivariate VAR BEKK GARCH (1,1) model, the study finds that there are significant return and volatility spillover effects between … and the US stock market to the Korean stock market, and the volatility spillover effect from the Japanese stock market to …

account for asymmetries of return and volatility spillover effects from the US equity market into Canada and Mexico. Unlike … previous research, we model the conditional volatility of the returns in each of the three markets using the asymmetric power … model of Ding, Granger and Engle (1993). The empirical results indicate that volatility spillover effects, but not mean …

Hong Kong, Singapore, and Taiwan. As for contagion in volatility, the lead/lag relationships appear to be multidirectional … unidirectional, with Hong Kong playing the dominant role in generating negative volatility shocks. In addition, the conditional ICAPM …

This paper documents law of one price violations in equity volatility markets. While tightly linked by no …

, money and stock markets from 1994 until 2006. Considering influences on financial market volatility, the estimations are …

countries from 1999 till 2006. Considering influences on financial market volatility, the estimations are carried out in …