The Dynamic Relationship Between Stock, Bond and Foreign Exchange Markets
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- Kal, Süleyman Hilmi & Arslaner, Ferhat & Arslaner, Nuran, 2015. "The dynamic relationship between stock, bond and foreign exchange markets," Economic Systems, Elsevier, vol. 39(4), pages 592-607.
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Cited by:
- Afees A. Salisu & Kazeem Isah, 2017. "Modeling the spillovers between stock market and money market in Nigeria," Working Papers 023, Centre for Econometric and Allied Research, University of Ibadan.
- repec:taf:jitecd:v:26:y:2017:i:2:p:228-255 is not listed on IDEAS
- repec:spr:decisn:v:45:y:2018:i:4:d:10.1007_s40622-018-0196-6 is not listed on IDEAS
- repec:fis:journl:180105 is not listed on IDEAS
More about this item
Keywords
Bond price; Stock price; Exchange rate; Sharpe ratio; Wald ratio test; Likelihood test; Impulse-Response functions; Markov-Switching vector autoregressive model;JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- F31 - International Economics - - International Finance - - - Foreign Exchange
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ALL-2015-10-04 (All new papers)
- NEP-MAC-2015-10-04 (Macroeconomics)
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