Testing for Causality in Mean and Variance between the Stock Market and the Foreign Exchange Market: An Application to the Major Central and Eastern European Countries
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More about this item
Keywordsstock and foreign exchange markets; structural breaks in variance; volatility spillovers; causality in mean and variance;
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- F31 - International Economics - - International Finance - - - Foreign Exchange
- C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General
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