Asymmetric effects and long memory in dynamic volatility relationships between stock returns and exchange rates
Walid Chkili; Chaker Aloui; Duc Khuong Nguyen
| Year of publication: |
2012
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|---|---|
| Authors: | Chkili, Walid ; Aloui, Chaker ; Nguyen, Duc Khuong |
| Published in: |
Journal of international financial markets, institutions & money. - Amsterdam : Elsevier, ISSN 1042-4431, ZDB-ID 1117317-8. - Vol. 22.2012, 4, p. 738-757
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| Subject: | Asymmetry | Long memory | FIGARCH | FIAPARCH | Stock returns | Exchange rates | Volatilität | Volatility | Wechselkurs | Exchange rate | Kapitaleinkommen | Capital income | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | US-Dollar | US dollar |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009582536