Volatility transmission between stock and foreign exchange markets : a connectedness analysis
Fernando Fernández-Rodríguez and Simón Sosvilla-Rivero
| Year of publication: |
2020
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|---|---|
| Authors: | Fernández Rodríguez, Fernando ; Sosvilla-Rivero, Simón |
| Published in: |
Applied economics. - New York, NY : Routledge, ISSN 1466-4283, ZDB-ID 1473581-7. - Vol. 52.2020, 19, p. 2096-2108
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| Subject: | foreign exchange rates | market linkages | Stock markets | variance decomposition | vector autoregression | Volatilität | Volatility | Aktienmarkt | Stock market | Devisenmarkt | Foreign exchange market | Wechselkurs | Exchange rate | Japan | VAR-Modell | VAR model | Schätzung | Estimation | Deutschland | Germany | Großbritannien | United Kingdom |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/00036846.2019.1683143 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012197679