Effects of volatility shocks on the dynamic linkages between exchange rate, interest rate and the stock market : the case of Turkey
Ahmet Sensoy; Cihat Sobaci
| Year of publication: |
2014
|
|---|---|
| Authors: | Sensoy, Ahmet ; Sobaci, Cihat |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 43.2014, p. 448-457
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| Subject: | Exchange rate | Interest rate | Stock market | Dynamic conditional correlation | Penalized contrast function | Volatility shift contagion | Volatilität | Volatility | Wechselkurs | Zins | Türkei | Turkey | Aktienmarkt | Schock | Shock | ARCH-Modell | ARCH model | Korrelation | Correlation | VAR-Modell | VAR model | Schätzung | Estimation | Finanzmarkt | Financial market |
| 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/10010503016