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A Revisit to the Dependence Structure between Stock and Foreign Exchange Markets : A Dependence-Switching Copula Approach

Wang, Yi-Chiuan - 2012

This paper develops a dependence-switching copula model to examine dependence and tail dependence for four different market statuses, namely, rising-stocks/appreciating-currency, falling-stocks/depreciating-currency, rising-stocks/depreciating-currency, and falling-stocks/appreciating-currency....

Persistent link: https://www.econbiz.de/10013107722

Liquidity premiums, interest rate differentials, and nominal exchange rate prediction

Wang, Yi-Chiuan; Wu, Jyh-lin - In: Journal of forecasting 43 (2024) 1, pp. 138-158

Persistent link: https://www.econbiz.de/10014443191

Purchasing power parity and the Irish experience : unit roots and cointegration tests for two industrial countries

Fountas, Stilianos - In: Kredit und Kapital 28 (1995) 2, pp. 201-215

Persistent link: https://www.econbiz.de/10001182681

Can nominal exchange rates be differenced to stationarity?

Wu, Jyh-lin - In: Economics letters 55 (1997) 3, pp. 397-402

Persistent link: https://www.econbiz.de/10001227219

Long-run money demand revisited : evidence from a non-linear approach

Chen, Show-lin; Wu, Jyh-lin - In: Journal of international money and finance 24 (2005) 1, pp. 19-37

Persistent link: https://www.econbiz.de/10002610532

Can dividend yields out-predict UK stock returns without short rates?

Wu, Jyh-lin; Hu, Yu-hau; Lee, Chingnun - In: The Manchester School 79 (2011) 6, pp. 1179-1196

Persistent link: https://www.econbiz.de/10009380878

Price indices and nonlinear mean-reversion of real exchange rates

Wu, Jyh-lin; Chen, Pei-fen - In: Southern economic journal 73 (2006) 2, pp. 461-471

Persistent link: https://www.econbiz.de/10003387049

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