Similar Search Results

Quantile dependence between foreign exchange market and stock market : the case of Korea

Han, Heejoon; Lee, Na Kyeong - In: East Asian economic review 20 (2016) 4, pp. 519-544

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/10011765039

Within and cross volatility contagion effects among stock, crude and forex returns : empirical evidence from five emerging economies

Varghese, George - In: Theoretical economics letters 8 (2018) 8, pp. 1475-1492

Persistent link: https://www.econbiz.de/10011888370

Return and volatility spillover effects between the INR-USD exchange rate and BSE SENSEX

Shadab, Abdullah; Sinha, Amit - In: Finance India : the quarterly journal of Indian … 36 (2022) 3, pp. 995-1008

Persistent link: https://www.econbiz.de/10013477579

Central bank communication and the impact of public announcements of new monetary policy data on the reaction of foreign exchange and stock markets : evidence from Poland

Brzeszczyński, Janusz; Gajdka, Jerzy; Kutan, Ali Mustafa - In: Argumenta oeconomica 39 (2017) 2, pp. 21-60

Persistent link: https://www.econbiz.de/10012284683

Causal relationship among international crude oil, gold, exchange rate, and stock market : fresh evidence from NARDL testing approach

Kumar, Suresh; Kumar, Ankit; Singh, Gurcharan - In: International journal of finance & economics : IJFE 28 (2023) 1, pp. 47-57

Persistent link: https://www.econbiz.de/10014253145

Time varying causality between stock market and exchange rate : evidence from Turkey, Japan and England

Zeren, Feyyaz; Koc, Mustafa - In: Economic research 29 (2016) 1, pp. 696-705

Persistent link: https://www.econbiz.de/10012221798

Stock price index, exchange rate and interest rates of Russia

Hsueh, Hsin-Pei; Li, Fangjhy - In: The empirical economics letters : a monthly … 19 (2020) 12, pp. 1503-1512

Persistent link: https://www.econbiz.de/10012608604

Uusing the symmetric models garch (1.1) and garch-m (1.1) to investigate volatility and persistence for the european and us financial markets

Duță, Violeta - In: Financial studies 22 (2018) 1, pp. 64-86

In this paper, we used the GARCH (1,1) and GARCH-M (1,1) models to investigate volatility and persistence at daily … persistence of volatility, meaning that the conditional volatility tends to revert faster to the long-term mean than the other … statistically significant and positive (thus confirming the hypothesis that an increase in volatility leads an increase in future …

Persistent link: https://www.econbiz.de/10011964941

Volatility transmission between the Japanese stock market and the Western stock market indices : time & frequency domain connectedness analysis with high-frequency data

Akdoğu, Serpil Kahraman; Keser, Merve - In: Applied economics 54 (2022) 6, pp. 670-684

Persistent link: https://www.econbiz.de/10012874238

Do lower foreign flows and higher domestic flows reduce indian equity market volatility?

Aggarwal, Vaibhav; Doifode, Adesh; Tiwary, Mrityunjay Kumar - In: Vision : the journal of business perspective 26 (2022) 4, pp. 461-470

Persistent link: https://www.econbiz.de/10014229671