Narrow search
Showing 1 - 10 of 5,777
Cover Image
Conditional Distribution of the Colombian Exchange Rate Returns : An Empirical Exercise Using Multivariate GARCH Models
Gómez, Karoll; Gallón, Santiago - 2008
covariance matrix and the results obtained for the proportion of failure and the dynamic quantile test of Engle and Manganelli … (2004), show evidence in favor of the model of Conditional Constant Correlation …
Persistent link: https://www.econbiz.de/10014220508
Cover Image
Comovement of Exchange Rates : A Wavelet Analysis
Andries, Alin Marius - 2015
In this paper we employ the wavelet multiple correlation and the wavelet multiple cross-correlation to investigate the … are encountered when conventional pair wise wavelet correlation and cross correlation are used to assess the comovement in …
Persistent link: https://www.econbiz.de/10013035510
Cover Image
Relationship between Exchange Rate and Stock Price in India : An Empirical Study
Singh, Gurmeet - 2016
The study investigates the relationships between exchange rate and stock price over the period January 2007 to March 2014. Index National Stock Exchange, namely, NIFTY is used as indicator of stock price. Johansen's co-integration and Granger causality test have been applied to explore the...
Persistent link: https://www.econbiz.de/10013003143
Cover Image
The Equivalence of Causality Detection in VAR and VECM Modeling with Applications to Exchange Rates
Brailsford, Tim - 2016
Vector error-correction models (VECM) are increasingly being used to capture dynamic relationships between financial variables. Estimation and interpretation of such models can be enhanced if zero restrictions are allowed in the coefficient matrices. Specifically, in tests of indirect causality...
Persistent link: https://www.econbiz.de/10013004401
Cover Image
The Relationship between Stock Price Index and Exchange Rate in Asian Markets : A Wavelet Based Correlation and Quantile Regression Approach
Dar, Arif Billah - 2013
index and exchange rate. We apply simple correlation and wavelet based correlation and in accordance with the portfolio … correlation grows stronger with higher time scales. We further apply quantile regression to observe the various relationships …
Persistent link: https://www.econbiz.de/10013082971
Cover Image
Dynamic correlations and volatility spillovers between stock price and exchange rate in BRIICS economies : evidence from the COVID-19 outbreak period
Rai, Karan; Garg, Bhavesh - In: Applied economics letters 29 (2022) 8, pp. 738-745
Persistent link: https://www.econbiz.de/10013171046
Cover Image
Equity flows, stock returns and exchange rates
Kanas, Angelos; Karkalakos, Sotirios - In: International journal of finance & economics : IJFE 22 (2017) 2, pp. 159-168
Persistent link: https://www.econbiz.de/10011960275
Cover Image
The euro introduction and non-euro currencies
Dijk, Dick van; Munandar, Haris; Hafner, Christian M. - 2006
the framework of dynamic conditional correlation (DCC) models, we find that such breaks occurred both at the time the …
Persistent link: https://www.econbiz.de/10011343243
Cover Image
On quantitative easing and high frequency exchange rate dynamics
Kenourgios, Dimitris; Papadamou, Stephanos; Dimitriou, … - In: Research in international business and finance 34 (2015), pp. 110-125
Persistent link: https://www.econbiz.de/10011325751
Cover Image
Exchange rate contagion in Latin America
Loiza-Maya, Ruben; Gómez González, José Eduardo; … - In: Research in international business and finance 34 (2015), pp. 355-367
Persistent link: https://www.econbiz.de/10011326205