Chkili, Walid; Aloui, Chaker; Nguyen, Duc Khuong - In: Journal of International Financial Markets, … 22 (2012) 4, pp. 738-757
We use univariate and multivariate GARCH-type models to investigate the properties of conditional volatilities of stock returns and exchange rates, as well as their empirical relationships. Taking three European stock markets and two popular US dollar exchange rates as case study, our results...