The paper aims to investigate the possible dual causality between exchange rates and stock indices of China and ASEAN … focus on China. The results of the model confirm the dual causality between the two variables of interest in China. It …

The paper aims to investigate the possible dual causality between exchange rates and stock indices of China and ASEAN … focus on China. The results of the model confirm the dual causality between the two variables of interest in China. It …

stability. Volatility in nominal exchange rate spills over to the real sectors of the economy affecting output, employment and … price stability. From this point of view, an assessment of exchange rate volatility assumes importance in studies on … confirm the existence of substantial volatility in the nominal INR-USD exchange rate evolving unilaterally and jointly with …

period between 2000 and 2015 is analyzed. The methodology is based on the Granger causality test, and the non-linear Diks …–Panchenko test, while the causality in variance is checked with the Hafner–Herwartz test. …

behind narrative sign restrictions and allows to extract time varying contemporaneous effects and volatility transmission … from conventional reduced form volatility models with dynamic correlations. We find the market value of banking …

This study examines the determinants of time-varying return volatility of Africa's equity markets using monthly indices … of eight top African stock markets. The conditional variance is modelled as a proxy for Africa's volatility indices using … volatility, the least squares dummy variable bias correction (LSDVC) model is employed. The study finds that volatility of …

This study examines the determinants of time-varying return volatility of Africa's equity markets using monthly indices … of eight top African stock markets. The conditional variance is modelled as a proxy for Africa's volatility indices using … volatility, the least squares dummy variable bias correction (LSDVC) model is employed. The study finds that volatility of …

account for asymmetries of return and volatility spillover effects from the US equity market into Canada and Mexico. Unlike … previous research, we model the conditional volatility of the returns in each of the three markets using the asymmetric power … model of Ding, Granger and Engle (1993). The empirical results indicate that volatility spillover effects, but not mean …

This study examines the statistical properties required to model the dynamics of both the returns and volatility series … adequately estimate long-memory dynamics in returns and volatility. The in-sample diagnostic tests as well as out … conditional volatility and strongly support the estimation of dynamic returns that allow for time-varying correlations. A …

transitory components of the conditional variance exhibit several well-known peaks in volatilities; (ii) the long-run volatility … relationships are stronger than the short-run linkages volatility with a reinforcement during the post-global financial crisis …-run volatility, except for in the period after the Global Financial Crisis, where the foreign-exchange markets are the main long …