Interest and exchange rate risk and stock returns : a multivariate Garch-M modelling approach

John Beirne, Guglielmo Maria Caporale and Nicola Spagnolo

Year of publication:	Jan. 2008
Other Persons:	Beirne, John (contributor) ; Caporale, Guglielmo Maria (contributor) ; Spagnolo, Nicola (contributor)
Publisher:	Uxbridge : Brunel Univ. West London, Brunel Business School
Subject:	Zins \| Interest rate \| Wechselkurs \| Exchange rate \| Kapitaleinkommen \| Capital income \| Volatilität \| Volatility \| Spillover-Effekt \| Spillover effect \| ARCH-Modell \| ARCH model \| Zeitreihenanalyse \| Time series analysis \| Welt \| World \| 1996-2006

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