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Time-varying causality between equity and currency returns in the United Kingdom: Evidence from over two centuries of data
16 references·1 citing·43 second hop
Time-varying causality between equity and currency returns in the United Kingdom: Evidence from over two centuries of data (2018)Time-varying causality between equity and…Exchange rate movements and stock market returns in a regime-switching environment: Evidence for BRICS countries (2013)Exchange rate movements and s…Stock market volatility and exchange rates in emerging countries: A Markov-state switching approach (2011)Stock market volatility and e…Granger Causality and Transfer Entropy Are Equivalent for Gaussian Variables (2009)Granger Causality and Transfe…Structural breaks and GARCH models of exchange rate volatility (2008)Structural breaks and GARCH m…Dynamic linkages between exchange rates and stock prices: Evidence from East Asian markets (2006)Dynamic linkages between exch…A new statistic and practical guidelines for nonparametric Granger causality testing (2006)A new statistic and practical…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Dynamic relationship between stock prices and exchange rates for G-7 countries (2001)Dynamic relationship between …A test for volatility spillover with application to exchange rates (2001)A test for volatility spillov…Volatility Spillovers Between Stock Returns and Exchange Rate Changes: International Evidence (2000)Volatility Spillovers Between…A bivariate causality between stock prices and exchange rates: evidence from recent Asianflu☆ (2000)A bivariate causality between…Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation (1994)Testing for Linear and Nonlin…MONETARY AND PORTFOLIO-BALANCE MODELS OF EXCHANGE RATE DETERMINATION (1992)MONETARY AND PORTFOLIO-BALANC…Economic interdependence and flexible exchange rates (1984)Economic interdependence and …Exchange Rates and the Current Account. 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References

  • 1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods23,139 cited
  • 2002Dynamic Conditional Correlation7,229 cited
  • 1994Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation1,506 cited
  • 2009Granger Causality and Transfer Entropy Are Equivalent for Gaussian Variables1,171 cited
  • 1980Exchange Rates and the Current Account.1,043 cited
  • 2006A new statistic and practical guidelines for nonparametric Granger causality testing964 cited
  • 2000A bivariate causality between stock prices and exchange rates: evidence from recent Asianflu☆785 cited
  • 2001Dynamic relationship between stock prices and exchange rates for G-7 countries472 cited
  • 2001A test for volatility spillover with application to exchange rates443 cited
  • 1992MONETARY AND PORTFOLIO-BALANCE MODELS OF EXCHANGE RATE DETERMINATION438 cited
  • 2006Dynamic linkages between exchange rates and stock prices: Evidence from East Asian markets325 cited
  • 2013Exchange rate movements and stock market returns in a regime-switching environment: Evidence for BRICS countries287 cited
  • 2000Volatility Spillovers Between Stock Returns and Exchange Rate Changes: International Evidence285 cited
  • 1984Economic interdependence and flexible exchange rates264 cited

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  • 2011Stock market volatility and exchange rates in emerging countries: A Markov-state switching approach233 cited
  • 2008Structural breaks and GARCH models of exchange rate volatility222 cited
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    • 2021IDENTIFICATION OF MULTIPLE BUBBLES IN TURKISH FINANCIAL MARKETS: EVIDENCE FROM GSADF APPROACH18 cited