In this study, a vector autoregression (VAR) model with time-varying parameters (TVP) to predict the daily Indian rupee (INR)/US dollar (USD) exchange rates for the Indian economy is developed. The method is based on characterization of the TVP as an optimal control problem. The methodology is a...

In this study, a vector autoregression (VAR) model with time-varying parameters (TVP) to predict the daily Indian rupee (INR)/US dollar (USD) exchange rates for the Indian economy is developed. The method is based on characterization of the TVP as an optimal control problem. The methodology is a...

ABSTRACT The study aims to analyze the dynamic linear long-run causal relationship between per capita electricity consumption and per capita real gross domestic product growth in Nigeria. Employing annual series from 1970 to 2006, the standard Granger Causality test, an ECM-based cointegration...

The present study examines dynamic relation between stock index and exchange rate by using the daily data for India. The study uses the unit root and cointegration tests to test for the long run relationship between the two variables. The study also uses linear and nonlinear granger causality...

The present study examines dynamic relation between stock index and exchange rate by using the daily data for India. The empirical evidence suggests that there is no long-run relationship; how-ever, there is bidirectional causality between stock index and exchange rates. The findings of the...