Walid, Chkili; Chaker, Aloui; Masood, Omar; Fry, John - In: Emerging Markets Review 12 (2011) 3, pp. 272-292
In this paper we employ a Markov-Switching EGARCH model to investigate the dynamic linkage between stock price volatility and exchange rate changes for four emerging countries over the period 1994-2009. Results distinguish between two different regimes in both the conditional mean and the...