Price and volatility spillovers between exchange rates and stock indexes for the pre- and post-euro period

DOI10.1080/14697680701302653zbMath1154.91607OpenAlexW2066724629MaRDI QIDQ5440108

Chaker Aloui

Publication date: 31 January 2008

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680701302653

zbMATH Keywords

causalitycross-correlationexchange rateasymmetric volatility spillovermultivariate EGARCH modelstock index price

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Related Items (1)

Measuring correlations of integrated but not cointegrated variables: a semiparametric approach

Cites Work

• Statistical analysis of cointegration vectors
• Generalized autoregressive conditional heteroscedasticity
• A causality-in-variance test and its application to financial market prices
• Testing for a unit root in time series regression
• Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
• The likelihood function of stationary autoregressive-moving average models

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