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Asymmetric effects and long memory in dynamic volatility relationships between stock returns and exchange rates

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Cited by:

  1. Dimitriou, Dimitrios & Kenourgios, Dimitris, 2013. "Financial crises and dynamic linkages among international currencies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 26(C), pages 319-332.
  2. Dimitriou, Dimitrios & Kenourgios, Dimitris & Simos, Theodore, 2013. "Global financial crisis and emerging stock market contagion: A multivariate FIAPARCH–DCC approach," International Review of Financial Analysis, Elsevier, vol. 30(C), pages 46-56.
  3. Saif Siddiqui & Preeti Roy, 2021. "Asymmetric Effects of Exchange Rate and Its Relationship with Foreign Investments: A Case of Indian Stock Market," Vision, , vol. 25(4), pages 415-427, December.
  4. Afees A. Salisu & Umar B. Ndako, 2017. "A new look at the stock price-exchange rate nexus," Working Papers 031, Centre for Econometric and Allied Research, University of Ibadan.
  5. Onder Buberkoku, 2018. "Examining the Value-at-risk Performance of Fractionally Integrated GARCH Models: Evidence from Energy Commodities," International Journal of Economics and Financial Issues, Econjournals, vol. 8(3), pages 36-50.
  6. Shi, Yanlin & Ho, Kin-Yip, 2015. "Modeling high-frequency volatility with three-state FIGARCH models," Economic Modelling, Elsevier, vol. 51(C), pages 473-483.
  7. Zouheir Mighri & Faysal Mansouri, 2014. "Modeling international stock market contagion using multivariate fractionally integrated APARCH approach," Cogent Economics & Finance, Taylor & Francis Journals, vol. 2(1), pages 1-25, December.
  8. Rania Jammazi & Duc Khuong Nguyen, 2015. "Responses of international stock markets to oil price surges: a regime-switching perspective," Applied Economics, Taylor & Francis Journals, vol. 47(41), pages 4408-4422, September.
  9. Caporale, Guglielmo Maria & Hunter, John & Menla Ali, Faek, 2014. "On the linkages between stock prices and exchange rates: Evidence from the banking crisis of 2007–2010," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 87-103.
  10. Sankarkumar, Amirdha Vasani & Selvam, Murugesan & Maniam, Balasundram & Sigo, Marxia Oli, 2017. "Long memory features and relationship stability of Asia-Pacific currencies against USD," Business and Economic Horizons (BEH), Prague Development Center (PRADEC), vol. 13(1).
  11. Aloui Mouna & Jarboui Anis, 2016. "Market, interest rate, and exchange rate risk effects on financial stock returns during the financial crisis: AGARCH-M approach," Cogent Economics & Finance, Taylor & Francis Journals, vol. 4(1), pages 1125332-112, December.
  12. Alexey Yurievich Mikhaylov, 2018. "Volatility Spillover Effect between Stock and Exchange Rate in Oil Exporting Countries," International Journal of Energy Economics and Policy, Econjournals, vol. 8(3), pages 321-326.
  13. Walid Chkili, 2021. "Modeling Bitcoin price volatility: long memory vs Markov switching," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 11(3), pages 433-448, September.
  14. Mensi, Walid & Hammoudeh, Shawkat & Yoon, Seong-Min, 2014. "Structural breaks and long memory in modeling and forecasting volatility of foreign exchange markets of oil exporters: The importance of scheduled and unscheduled news announcements," International Review of Economics & Finance, Elsevier, vol. 30(C), pages 101-119.
  15. Chkili, Walid & Aloui, Chaker & Nguyen, Duc Khuong, 2014. "Instabilities in the relationships and hedging strategies between crude oil and US stock markets: Do long memory and asymmetry matter?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 33(C), pages 354-366.
  16. Christos Kollias & Stephanos Papadamou & Costas Siriopoulos, 2016. "Stock markets and effective exchange rates in European countries: threshold cointegration findings," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 6(2), pages 215-274, August.
  17. Shahzad, Syed Jawad Hussain & Zakaria, Muhammad & Raza, Naveed & Ali, Sajid, 2014. "On the Bank Stocks Return and Volatility: Tale of a South Asian Economy," MPRA Paper 60155, University Library of Munich, Germany.
  18. Shi, Yanlin & Feng, Lingbing, 2016. "A discussion on the innovation distribution of the Markov regime-switching GARCH model," Economic Modelling, Elsevier, vol. 53(C), pages 278-288.
  19. Zouheir Mighri, 2018. "On the Dynamic Linkages Among International Emerging Currencies," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 16(2), pages 427-473, June.
  20. Chkili, Walid & Hammoudeh, Shawkat & Nguyen, Duc Khuong, 2014. "Volatility forecasting and risk management for commodity markets in the presence of asymmetry and long memory," Energy Economics, Elsevier, vol. 41(C), pages 1-18.
  21. Wang, Xinyu & Qi, Zikang & Huang, Jianglu, 2023. "How do monetary shock, financial crisis, and quotation reform affect the long memory of exchange rate volatility? Evidence from major currencies," Economic Modelling, Elsevier, vol. 120(C).
  22. Manh Ha Nguyen & Olivier Darné, 2018. "Forecasting and risk management in the Vietnam Stock Exchange," Working Papers halshs-01679456, HAL.
  23. Ngo Thai Hung, 2022. "Spillover Effects Between Stock Prices and Exchange Rates for the Central and Eastern European Countries," Global Business Review, International Management Institute, vol. 23(2), pages 259-286, April.
  24. Lingbing Feng & Yanlin Shi, 2017. "A simulation study on the distributions of disturbances in the GARCH model," Cogent Economics & Finance, Taylor & Francis Journals, vol. 5(1), pages 1355503-135, January.
  25. Saint Kuttu & Joshua Yindenaba Abor & Godfred Amewu, 2024. "Long memory in volatility in foreign exchange markets: evidence from selected countries in Africa," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 48(2), pages 462-482, June.
  26. Afees A. Salisu & Oluwatomisinn Oyewole & Ismail O. Fasanya, 2017. "Modelling Return and Volatility Spillovers in Global Foreign Exchange Markets," Working Papers 030, Centre for Econometric and Allied Research, University of Ibadan.
  27. Juan Carlos Cuestas & Ying Sophie Huang & Bo Tang, 2016. "Does the Yuan's Overseas Expansion Increase the Currency Exposure of Chinese Financial Firms?," Working Papers 2016006, The University of Sheffield, Department of Economics.
  28. Zouheir Mighri & Majid Ibrahim Alsaggaf, 2019. "Volatility Spillovers among the Cryptocurrency Time Series," International Journal of Economics and Financial Issues, Econjournals, vol. 9(3), pages 81-90.
  29. Sang Hoon Kang & Ron McIver & Seong-Min Yoon, 2016. "Modeling Time-Varying Correlations in Volatility Between BRICS and Commodity Markets," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 52(7), pages 1698-1723, July.
  30. Lahmiri, Salim, 2017. "Modeling and predicting historical volatility in exchange rate markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 387-395.
  31. Anthony Msafiri Nyangarika & Alexey Yurievich Mikhaylov & Bao-jun Tang, 2018. "Correlation of Oil Prices and Gross Domestic Product in Oil Producing Countries," International Journal of Energy Economics and Policy, Econjournals, vol. 8(5), pages 42-48.
  32. Stefanescu, Razvan & Dumitriu, Ramona, 2013. "Impact of the foreign exchange rates fluctuations on returns and volatility of the Bucharest Stock Exchange," MPRA Paper 47229, University Library of Munich, Germany, revised 04 Apr 2013.
  33. Muhammad Sheraz & Imran Nasir, 2021. "Information-Theoretic Measures and Modeling Stock Market Volatility: A Comparative Approach," Risks, MDPI, vol. 9(5), pages 1-20, May.
  34. Saadati, Alireza & Honarmandi, Zahra & Zarei, Samira, 2020. "Real Exchange Rate Shocks and Export-Oriented Businesses in Iran: An Empirical Analysis Using NARDL Model," MPRA Paper 101554, University Library of Munich, Germany, revised 30 Jun 2020.
  35. Aloui Mouna & Jarboui Anis, 2017. "Stock Market, Interest Rate and Exchange Rate Risk Effects on non Financial Stock Returns During the Financial Crisis," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 8(3), pages 898-915, September.
  36. Afees A. Salisu & Kazeem Isah & Nnenna Ogbonnaya‐Orji, 2022. "A firm level analysis of asymmetric response of U.S. stock returns to exchange rate movements," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 1220-1239, January.
  37. Onder Buberkoku, 2019. "Do Long-memory GARCH-type-Value-at-Risk Models Outperform None-and Semi-parametric Value-at-Risk Models?," International Journal of Energy Economics and Policy, Econjournals, vol. 9(2), pages 199-215.
  38. Asadi, Mehrad & Tiwari, Aviral Kumar & Gholami, Samad & Ghasemi, Hamid Reza & Roubaud, David, 2023. "Understanding interconnections among steel, coal, iron ore, and financial assets in the US and China using an advanced methodology," International Review of Financial Analysis, Elsevier, vol. 89(C).
  39. Cuestas, Juan Carlos & Huang, Ying Sophie & Tang, Bo, 2018. "Does internationalisation increase exchange rate exposure? -Evidence from Chinese financial firms," International Review of Financial Analysis, Elsevier, vol. 56(C), pages 253-263.
  40. Chaker Aloui & Duc Khuong Nguyen, 2014. "On the detection of extreme movements and persistent behaviour in Mediterranean stock markets: a wavelet-based approach," Applied Economics, Taylor & Francis Journals, vol. 46(22), pages 2611-2622, August.
  41. Joseph, Nathan Lael & Lambertides, Neophytos & Savva, Christos S., 2015. "Short-horizon excess returns and exchange rate and interest rate effects," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 37(C), pages 54-76.
  42. Tong Liu & Yanlin Shi, 2022. "Innovation of the Component GARCH Model: Simulation Evidence and Application on the Chinese Stock Market," Mathematics, MDPI, vol. 10(11), pages 1-18, June.
  43. Jan Jakub Szczygielski & Chimwemwe Chipeta, 2023. "Properties of returns and variance and the implications for time series modelling: Evidence from South Africa," Modern Finance, Modern Finance Institute, vol. 1(1), pages 35-55.
  44. repec:ipg:wpaper:2014-549 is not listed on IDEAS
  45. Newaz, Mohammad Khaleq & Park, Jin Suk, 2019. "The impact of trade intensity and Market characteristics on asymmetric volatility, spillovers and asymmetric spillovers: Evidence from the response of international stock markets to US shocks," The Quarterly Review of Economics and Finance, Elsevier, vol. 71(C), pages 79-94.
  46. Chkili, Walid & Ben Rejeb, Aymen & Arfaoui, Mongi, 2021. "Does bitcoin provide hedge to Islamic stock markets for pre- and during COVID-19 outbreak? A comparative analysis with gold," Resources Policy, Elsevier, vol. 74(C).
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