Erdogan, Oral; Schmidbauer, Harald - In: Istanbul Stock Exchange Review 8 (2006) 30, pp. 1-18
This study focuses on a certain aspect of substitution effect between FX and stock market investments. The motivation for this approach is that a forecast of future correlations and volatilities is the basis for pricing models, according to Engle (2002). Forecasts are obtained via a methodology...
