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Dynamic Correlation Between Stock Returns And Exchange Rate And Its Dependence On The Conditional Volatilities – The Case Of Several Eastern European Countries

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  • Dejan Živkov
  • Jovan Njegić
  • Jasmina Pavlović

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Suggested Citation

  • Dejan Živkov & Jovan Njegić & Jasmina Pavlović, 2016. "Dynamic Correlation Between Stock Returns And Exchange Rate And Its Dependence On The Conditional Volatilities – The Case Of Several Eastern European Countries," Bulletin of Economic Research, Wiley Blackwell, vol. 68(S1), pages 28-41, December.
    • Handle: RePEc:bla:buecrs:v:68:y:2016:i:s1:p:28-41
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    File URL: http://hdl.handle.net/10.1111/boer.2016.68.issue-S1
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    Cited by:

    1. Jasmina Ðuraškovic & Slavica Manic & Dejan Živkov, 2019. "Multiscale Volatility Transmission and Portfolio Construction Between the Baltic Stock Markets," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 69(2), pages 211-235, April.
    2. Ahmed S. Alimi & Oladotun D. Olaniran, 2019. "Monetary Policy and the Stock Price - Exchange Rate Nexus: New Insights from Influential African Economies," Asian Development Policy Review, Asian Economic and Social Society, vol. 7(2), pages 66-79, June.
    3. Dejan Živkov & Boris Kuzman & Jonel Subić, 2022. "Measuring the risk-adjusted performance of selected soft agricultural commodities," Agricultural Economics, Czech Academy of Agricultural Sciences, vol. 68(3), pages 87-96.
    4. Joel Hinaunye Eita & Charles Raoul Tchuinkam Djemo, 2022. "Quantifying Foreign Exchange Risk in the Selected Listed Sectors of the Johannesburg Stock Exchange: An SV-EVT Pairwise Copula Approach," IJFS, MDPI, vol. 10(2), pages 1-29, April.

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