Effects Of Volatility Shocks On The Dynamic Linkages Between Exchange Rate, Interest Rate And The Stock Market: The Case Of Turkey
Year of publication: |
2013-10
|
---|---|
Authors: | Sensoy, Ahmet ; Sobaci, Cihat |
Institutions: | Research Department, Borsa İstanbul |
Subject: | exchange rate | interest rate | stock market | dynamic conditional correlation | penalized contrast function | volatility shift contagion |
Series: | |
---|---|
Type of publication: | Book / Working Paper |
Notes: | Number 10 |
Classification: | C51 - Model Construction and Estimation ; C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; E44 - Financial Markets and the Macroeconomy ; E58 - Central Banks and Their Policies ; F31 - Foreign Exchange ; G01 - Financial Crises |
Source: |
-
Sensoy, Ahmet, (2014)
-
Sensoy, Ahmet, (2014)
-
A comparative analysis of the dynamic relationship between oil prices and exchange rates
Turhan, M. Ibrahim, (2014)
- More ...
-
Effective Transfer Entropy Approach To Information Flow Between Exchange Rates And Stock Markets
Sensoy, Ahmet, (2014)
-
Impact Of Short Selling Activity On Market Dynamics: Evidence From An Emerging Market
Sobaci, Cihat, (2014)
-
Not all emerging markets are the same: A classification approach with correlation based networks
Sensoy, Ahmet, (2015)
- More ...