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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

How has Covid-19 infected the stock market and exchange rate? : (a case study of infected vs. uninfected countries)

Fadli, Faishal; S. S., Vietha Devia - In: International journal of monetary economics and finance … 15 (2022) 5, pp. 407-429

Persistent link: https://www.econbiz.de/10014320488

Cointegration and the causality between stock prices and exchange rates of the Korean economy

Hwang, Jae-kwang - In: International business and economics research journal 3 (2004) 4, pp. 79-84

Persistent link: https://www.econbiz.de/10002089465

Foreign exchange market pressure and stock market dynamics in emerging Asia

Aftab, Muhammad; Ali, Abid; Hegerty, Scott W. - In: International economics and economic policy 18 (2021) 4, pp. 699-719

Persistent link: https://www.econbiz.de/10012665363

Quantile Dependence between Foreign Exchange Market and Stock Market : The Case of Korea

Han, Heejoon - 2017

This paper examines quantile dependence and directional predictability between the foreign exchange market and the stock market in Korea. Instead of adopting a multivariate model such as a vector autoregressive model, a multivariate GARCH model or a combination of both models, we apply the...

Persistent link: https://www.econbiz.de/10012966341

Modeling and forecasting realized volatilities of Korean financial assets featuring long memory and asymmetry

Park, Soyoung; Shin, Dong-wan - In: Asia-Pacific journal of financial studies 43 (2014) 1, pp. 31-58

Persistent link: https://www.econbiz.de/10010348459

Market, interest rate, and exchange rate risk effects on financial stock returns during the financial crisis : AGARCH-M approach

Mouna, Aloui; Anis, Jarboui - In: Cogent economics & finance 4 (2016) 1, pp. 1-16

-variate GARCH-in-mean model and volatility spillovers. The empirical results show the significant effects (positive and negative …, respectively) of the stock market returns, interest rate, and exchange rate volatility of the financial sector during the crisis …. Besides, we find, in most cases, significant (positive and negative, respectively) volatility spillovers from market return …

Persistent link: https://www.econbiz.de/10011450341

Return and volatility spillover among commodity futures, stock market and exchange rate : evidence from India

Maitra, Debasish; Dawar, Varun - In: Global business review 20 (2019) 1, pp. 214-237

Persistent link: https://www.econbiz.de/10011984156

Conditional heteroskedasticity in the volatility of asset returns

Ding, Yashuang - 2021

Persistent link: https://www.econbiz.de/10013262866

The exposure of French and South Korean firm stock returns to exchange rates and the COVID-19 pandemic

Thorbecke, Willem - In: Journal of risk and financial management : JRFM 14 (2021) 4, pp. 1-29

Rogoff predicted that the U.S. dollar will depreciate and that exchange rate volatility will return. The coronavirus …

Persistent link: https://www.econbiz.de/10012520564