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Modeling the Relationships Across Nigeria Inflation, Exchange Rate, and Stock Market Returns and Further Analysis
16 references·1 citing·33 second hop
Modeling the Relationships Across Nigeria Inflation, Exchange Rate, and Stock Market Returns and Further Analysis (2019)Modeling the Relationships Across Nigeria…Pair-copula constructions of multiple dependence (2007)Pair-copula constructions of …Modelling Financial Time Series (2007)Modelling Financial Time Seri…Everything You Always Wanted to Know about Copula Modeling but Were Afraid to Ask (2007)Everything You Always Wanted …Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1995)Autoregressive Conditional He…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…A long memory property of stock market returns and a new model (1993)A long memory property of sto…Stock Volatility and the Crash of '87 (1989)Stock Volatility and the Cras…Understanding spurious regressions in econometrics (1986)Understanding spurious regres…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Stock Returns, Real Activity, Inflation, and Money (1981)Stock Returns, Real Activity,…Exchange Rates and the Current Account. (1980)Exchange Rates and the Curren…Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecas…Asset returns and inflation (1977)Asset returns and inflationRank Correlation Methods (1973)Rank Correlation MethodsRank Correlation Methods. (1957)Rank Correlation Methods.Rank Correlation Methods (1957)Rank Correlation MethodsImpact of Exchange Rate on Ethiopian Trade Balance: Evidence from ARDL Model (2021)Impact of Exchange Rate on Et…MONEY, INCOME, AND CAUSALITY (1972)Economic Forces and the Stock Market (1986)Efficient Capital Markets: II (1991)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)A review of copula models for economic time series (2012)Selecting and estimating regular vine copulae and application to financial returns (2012)Modeling Dependence with C- and D-Vine Copulas: The R Package CDVine (2013)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Modeling and Forecasting Realized Volatility (2003)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Introductory Econometrics for Finance (2008)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Expected stock returns and volatility (1987)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)ARCH modeling in finance (1992)The Cross‐Section of Volatility and Expected Returns (2006)On the Failure to Eliminate Hypotheses in a Conceptual Task (1960)Personal Religious Orientation and Prejudice. (1967)Increasing Returns and Long-Run Growth (1986)Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)Modeling and Forecasting Realized Volatility (2001)Idiosyncratic risk and the cross-section of expected stock returns (2008)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Practical Significance: A Concept Whose Time Has Come (1996)Comparing Top k Lists (2003)Selective review of offline change point detection methods (2019)
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References

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  • 1977Time Series Analysis: Forecasting and Control19,200 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1957Rank Correlation Methods.6,385 cited
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  • 1993A long memory property of stock market returns and a new model3,257 cited
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  • 2007Everything You Always Wanted to Know about Copula Modeling but Were Afraid to Ask1,622 cited
  • 1957Rank Correlation Methods1,569 cited
  • 2007Modelling Financial Time Series1,415 cited
  • 1989Stock Volatility and the Crash of '871,045 cited
  • 1980Exchange Rates and the Current Account.

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  • 2021Impact of Exchange Rate on Ethiopian Trade Balance: Evidence from ARDL Model11 cited