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Analyzing time-frequency relationship between interest rate, stock price and exchange rate through continuous wavelet

Andrieş, Alin Marius; Ihnatov, Iulian; Tiwari, Aviral Kumar - In: Economic modelling 41 (2014), pp. 227-238

Persistent link: https://www.econbiz.de/10010438349

Analyzing Time-Frequency Relationship between Interest Rate, Stock Price and Exchange Rate Through Continuous Wavelet

Tiwari, Aviral Kumar - 2020

In this study we investigate and identify the patterns of co-movement of interest rate, stock price and exchange rate in India in the period between July 1997 and December 2010 using the cross-wavelet power, the cross-wavelet coherency, and the phase difference methodologies. Our empirical...

Persistent link: https://www.econbiz.de/10012857034

An investigation of the causal relations between exchange rates and interest rate differentials using wavelets

Hacker, R. Scott; Karlsson, Hyunjoo Kim; Månsson, Kristofer - In: International review of economics & finance : IREF 29 (2014), pp. 321-329

Persistent link: https://www.econbiz.de/10010432350

Stock returns and inflation in Pakistan

Tiwari, Aviral Kumar; Dar, Arif Billah; Bhanja, Niyati; … - In: Economic modelling 47 (2015), pp. 23-31

Persistent link: https://www.econbiz.de/10011437015

The relationship between stock prices and exchange rates in Asian markets : a wavelet based correlation and quantile regression approach

Dar, Arif Billah; Shah, Aasif; Bhanja, Niyati; … - In: South Asian journal of global business research : … 3 (2014) 2, pp. 209-224

Persistent link: https://www.econbiz.de/10010405645

Equity return and short-term interest rate volatility : level effects and asymmetric dynamics

Henry, Ólan Thomas John (contributor); … - 2005

Persistent link: https://www.econbiz.de/10003011852

Equity return and short-term interest rate volatility : level effects and asymmetric dynamics

Henry, Ólan Thomas John (contributor); … - 2005

Persistent link: https://www.econbiz.de/10003448337

South Africa and United States stock prices and the rand/dollar exchange rate

Ocran, Matthew Kofi - In: South African journal of economic and management sciences 13 (2010) 3, pp. 362-375

Persistent link: https://www.econbiz.de/10008842393

The generalized extreme value distribution

Bali, Turan G. - In: Economics letters 79 (2003) 3, pp. 423-427

Persistent link: https://www.econbiz.de/10001755303

Monetary policy rules, asset prices, and exchange rates

Chadha, Jagjit; Sarno, Lucio; Valente, Giorgio - In: IMF staff papers 51 (2004) 3, pp. 529-552

Persistent link: https://www.econbiz.de/10015182740

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