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Frequency Domain Causality Analysis of Interactions between Financial Markets of Turkey
16 references·2 citing·43 second hop
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References

  • 1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods22,971 cited
  • 2010Investigating Causal Relations by Econometric Models and Cross-Spectral Methods4,760 cited
  • 1989Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy1,047 cited
  • 2005Testing for short- and long-run causality: A frequency-domain approach945 cited
  • 1995DYNAMIC RELATIONS BETWEEN MACROECONOMIC VARIABLES AND THE JAPANESE STOCK MARKET: AN APPLICATION OF A VECTOR ERROR CORRECTION MODEL685 cited
  • 2011Volatility spillovers between oil prices and stock sector returns: Implications for portfolio management666 cited
  • 1990Intertemporal asset pricing598 cited
  • 1992Stock prices and the effective exchange rate of the dollar489 cited
  • 2001Dynamic relationship between stock prices and exchange rates for G-7 countries472 cited
  • 1997Exchange rate and stock price interactions in emerging financial markets: evidence on India, Korea, Pakistan and the Philippines466 cited
  • 2004Monetary Policy and Long-Horizon Uncovered Interest Parity403 cited
  • 2002Stock market and macroeconomic fundamental dynamic interactions: ASEAN-5 countries400 cited
  • 2009Relationship between Interest Rate and Stock Price: Empirical Evidence from Developed and Developing Countries284 cited
  • 2000Volatility Spillovers Between Stock Returns and Exchange Rate Changes: International Evidence

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281 cited
  • 1995Causality in the Long Run278 cited
  • 1987Using Financial Prices to Test Exchange Rate Models: A Note261 cited
  • Cited by

    • 2020Credit decomposition and economic activity in Turkey: A wavelet-based approach13 cited
    • 2021Testing for Causality among CDS, Interest, and Exchange Rates: New Evidence from the Granger Coherence Analysis12 cited