Linkages between Excess Currency and Stock Market Returns:Granger Causality in Mean and Variance
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More about this item
Keywordsmonetary market integration; equity market integration; Granger causality in-mean and in-variance; AR; Univariate GARCH;
- F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2010-07-24 (All new papers)
- NEP-EEC-2010-07-24 (European Economics)
- NEP-FMK-2010-07-24 (Financial Markets)
- NEP-MON-2010-07-24 (Monetary Economics)
- NEP-TRA-2010-07-24 (Transition Economics)
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