Dynamic causality between stock return and exchange rate: is stock-oriented hypothesis more relevant in Malaysia?
From MaRDI portal
Publication:1627835
DOI10.1007/s10690-018-9244-7zbMath1407.62425OpenAlexW2807666198WikidataQ59309678 ScholiaQ59309678MaRDI QIDQ1627835
Publication date: 3 December 2018
Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10690-018-9244-7
stock marketvolatility spilloverexchange rateglobal financial crisisMalaysiacausality-in-meancausality-in-variancestock-oriented hypothesis
Cites Work
- Statistical inference in vector autoregressions with possibly integrated processes
- A causality-in-variance test and its application to financial market prices
- Distribution of the Estimators for Autoregressive Time Series With a Unit Root
- A test for volatility spillover with application to exchange rates