Francis, Bill B.; Hasan, Iftekhar; Hunter, Delroy M. - 2002
determination, investigates dynamic relationships between major currency and equity markets.Using a multivariate GARCH framework, we … parsimonious way of testing mean-volatility relationships in currency and equity markets and re-examining the robustness of … relationships between equity markets, while controlling for exchange rate effects.We find that the relationship between currency and …