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The application of multivariate GARCH models to turbulent financial markets
Zahnd, Edy - 2002 - Als Ms. gedr.
Persistent link: https://www.econbiz.de/10001659873
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Examining stress in Asian currencies : a perspective offered by high frequency financial market data
Dungey, Mardi H.; Matei, Marius; Sirimon Treepongkaruna - In: Journal of international financial markets, … 67 (2020), pp. 1-18
Persistent link: https://www.econbiz.de/10012495857
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The nonlinear dynamic relationship between stock prices and exchange rates in Asian countries
Sakemoto, Ryuta - In: International journal of financial research 8 (2017) 2, pp. 40-50
Persistent link: https://www.econbiz.de/10011779388
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The relationship between stock price and exchange rate : empirical evidence based on the KLSE market
Bany-Ariffin, Amin Noordin; Hook, Law Siong - In: The Asian economic review : journal of the Indian … 42 (2000) 1, pp. 39-49
Persistent link: https://www.econbiz.de/10001522554
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The US tech pulse, stock prices, and exchange rate dynamics : evidence from Asian developing countries
Kubo, Akihiro - In: Journal of Asian economics 23 (2012) 6, pp. 680-687
Persistent link: https://www.econbiz.de/10009690269
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Dynamics of volatility spillover between stock market and foreign exchange market : evidence from Asian Countries
Jebran, Khalil; Iqbal, Amjad - In: Financial innovation : FIN 2 (2016) 3, pp. 1-20
Background: The purpose of this study is to examine volatility spillover effects between stock market and foreign … Regressive Conditional Heteroskedasticity) model for the purpose of analyzing asymmetric volatility spillover effects between … stock and foreign exchange market. Results: The EGARCH analyses reveal bidirectional asymmetric volatility spillover between …
Persistent link: https://www.econbiz.de/10011542472
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Modeling volatility spillover effects between developed stock markets and Asian emerging stock markets
Li, Yanan; Giles, David E. A. - In: International journal of finance & economics : IJFE 20 (2015) 2, pp. 155-177
Persistent link: https://www.econbiz.de/10011348426
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Dynamics of stock prices and exchange rates relationship : evidence from five Sub-Saharan African financial markets
Ndako, Umar Bida - In: Journal of African business 14 (2013) 1/3, pp. 47-57
Persistent link: https://www.econbiz.de/10010246235
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Exchange rate policy and falling crude oil prices : effect on the Nigerian stock market
Abraham, Terfa Williams - In: CBN journal of applied statistics 7 (2016) 1, pp. 111-123
This paper examines the effect of crude oil price movement on the Nigerian stock market and the role of exchange rate as a plausible countercyclical policy tool. Daily data on All Share Index of the Nigerian stock market, crude oil prices and exchange rate, were collected for two periods:...
Persistent link: https://www.econbiz.de/10011460340
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External stocks and volatility overflow among the exchange rate of the Yen, Nikkei, TOPIX and sectoral stock indices
Sultonov, Mirzosaid - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-13
In this paper, we examined the changes in volatility overflow among the exchange rate of the Japanese yen (JPY), the … and transportation equipment indices). The findings highlighted causality in variance (volatility spillover) among the … variables. We revealed that volatility could also spread indirectly among the variables (from one variable to another through a …
Persistent link: https://www.econbiz.de/10012797403