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Exchange rate returns and volatility : the role of time-varying rare disaster risks
Gupta, Rangan; Suleman, Tahir; Wohar, Mark E. - In: The European journal of finance 25 (2019) 2, pp. 190-203
Persistent link: https://www.econbiz.de/10012206968
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Contagion effects on stock and FX markets : a DCC analysis among USA and EMU
Dimitriou, Dimitrios I.; Simos, Theodore M. - In: Studies in economics and finance 31 (2014) 3, pp. 246-254
Persistent link: https://www.econbiz.de/10011338922
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Exchange rates, expected returns and risk : UIP unbound
Munro, Anella - 2014
Persistent link: https://www.econbiz.de/10011341966
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Effects of volatility shocks on the dynamic linkages between exchange rate, interest rate and the stock market : the case of Turkey
Sensoy, Ahmet; Sobaci, Cihat - In: Economic modelling 43 (2014), pp. 448-457
Persistent link: https://www.econbiz.de/10010503016
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Explaining the dollar-euro rate : do stock market returns matter?
Kaltenhäuser, Bernd - 2001
Persistent link: https://www.econbiz.de/10001632813
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Explaining the Dollar-Euro rate : do stock market returns mater?
Kaltenhäuser, Bernd (contributor) - 2001
Persistent link: https://www.econbiz.de/10001681617
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Uncovered return parity : equity returns and currency returns
Djeutem, Edouard; Dunbar, Geoffrey R. - 2018
We propose an uncovered expected returns parity (URP) condition for the bilateral spot exchange rate. URP implies that unilateral exchange rate equations are misspecified and that equity returns also affect exchange rates. Fama regressions provide evidence that URP is statistically preferred to...
Persistent link: https://www.econbiz.de/10011844179
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Identifying long-run relationships between the exchange rate, interest rates and stock prices
Wong, Douglas Kai Tim; MacDonald, Ronald - In: Applied economics 56 (2024) 22, pp. 2671-2687
Persistent link: https://www.econbiz.de/10014525413
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On the efficiency of capital markets : an analysis of the short end of the UK term structure
Hughes Hallett, Andrew; Richter, Christian - In: Financial econometrics modeling : derivatives pricing, …, (pp. 147-162). 2011
Persistent link: https://www.econbiz.de/10008987974
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On the relationship between economic policy uncertainty, geopolitical risk and stock market returns in South Korea : a quantile causality analysis
Adebayo, Tomiwa Sunday; Akadiri, Seyi; Rjoub, Husam - In: Annals of financial economics 17 (2022) 1, pp. 1-19
Persistent link: https://www.econbiz.de/10013189195