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A Markov regime switching approach to estimating the volatility of Johannesburg Stock Exchange (JSE) returns

Oseifuah, Emmanuel Kojo; Korkpoe, Carl H. - In: Investment management and financial innovations 16 (2019) 1, pp. 215-225

Persistent link: https://www.econbiz.de/10012056053

Modeling of stock indices with HMM-SV models

Nkemnole, E. B.; Wulu, J. T. - In: Theoretical and applied economics : GAER review 24 (2017) 2, pp. 45-60

Persistent link: https://www.econbiz.de/10011795001

An empirical analysis of the US dollar, yen and eurodollar exchange shock mean and volatility spillover to domestic and China stock markets

Wei, Ching Chun - In: International journal of economics 3 (2009) 1, pp. 61-76

Persistent link: https://www.econbiz.de/10003932421

Day-of-the-week effect of major currency pairs : new evidences from investors' fear gauge

Singh, Vipul Kumar - In: The journal of asset management 20 (2019) 7, pp. 493-507

Persistent link: https://www.econbiz.de/10012155317

Stock market volatility and exchange rates in emerging countries : a Markov-state switching approach

Walid, Chkili; Chaker, Aloui; Masood, Omar; Fry, John - In: Emerging markets review 12 (2011) 3, pp. 272-292

Persistent link: https://www.econbiz.de/10009306830

Empirical modeling of high-income and emerging stock and Forex market return volatility using Markov-switching GARCH models

Arellano, Miguel Ataurima; Perez Rodriguez, Gabriel - In: The North American journal of economics and finance : a … 52 (2020), pp. 1-18

Persistent link: https://www.econbiz.de/10012654810

Impact of exchange rate on uncertainty in stock market : evidence from Markov regime-switching GARCH family models

Zolfaghari, Mehdi; Hoseinzade, Saeid - In: Cogent economics & finance 8 (2020) 1, pp. 1-49

model the IIR volatility. We find evidence of regime-switching behaviour in Iran's stock market. After removing the …

Persistent link: https://www.econbiz.de/10013179535

Dynamic asymmetric effect of currency risk pricing of exchange rate on equity markets : a regime-switching based C-Vine copulas method

Mudiangombe, Benjamin; Muteba Mwamba, John - In: International Journal of Financial Studies : open … 10 (2022) 3, pp. 1-30

This paper investigates whether currency risk is priced differently in the different sectors (industrial, financial, and basic materials) of equity markets in a sample of developed United States of America (USA) and developing economies (Brazil, India, Poland, and South Africa). The paper makes...

Persistent link: https://www.econbiz.de/10013368440

Volatility spillover analysis between stocks and exchange rate markets in short and long terms in East European and Eurasian countries

Živkov, Dejan; Gajić-Glamočlija, Marina; … - In: International journal of emerging markets 18 (2023) 11, pp. 5068-5086

Persistent link: https://www.econbiz.de/10014458484

The low-magnitude and high-magnitude asymmetries in tail dependence structures in international equity markets and the role of bilateral exchange rate

Chang, Kuang-Liang - In: Journal of international money and finance 133 (2023), pp. 1-18

Persistent link: https://www.econbiz.de/10014304729

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