What do stock markets tell us about exchange rates?

DOI10.1093/ROF/RFV032MaRDI QIDQ4555577zbMATH OpenOpenAlexFDO

Authors Gino Cenedese, Richard D. Payne, Lucio Sarno, Giorgio Valente

Publication date 20 November 2018

Published in Review of Finance (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10.1093/rof/rfv032

zbMATH Keywords

equity returnsexchange rate returnsportfoliotime-series test

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

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