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How do Exchange Rates Co-Move? A Study on the Currencies of Five Inflation-Targeting Countries
16 references·2 citing·38 second hopsampled
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References

  • 2002Dynamic Conditional Correlation7,229 cited
  • 1993Measuring and Testing the Impact of News on Volatility3,692 cited
  • 2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*2,119 cited
  • 2006Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns1,814 cited
  • 1998Modeling Asymmetric Comovements of Asset Returns1,588 cited
  • 2002Asymmetric correlations of equity portfolios1,530 cited
  • 2001Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH1,401 cited
  • 1989Stock Volatility and the Crash of '871,045 cited
  • 2005Volatility Spillover Effects in European Equity Markets665 cited
  • 2001The Role of the Exchange Rate in Monetary-Policy Rules631 cited
  • 1991Measuring and Testing the Impact of News on Volatility343 cited
  • 2001Monetary policy strategies for Latin America290 cited
  • 2006Stock Returns, Implied Volatility Innovations, and the Asymmetric Volatility Phenomenon256 cited
  • 2006The Relationship Between Exchange Rates and Inflation Targeting Revisited232 cited
  • 2000Asymmetric Correlations of Equity Portfolios214 cited
  • 2009

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Asymmetric effects of federal funds target rate changes on S&P100 stock returns, volatilities and correlations
167 cited

Cited by

  • 2011Volatility transmission in emerging European foreign exchange markets340 cited
  • 2016How does economic policy uncertainty drive gold–stock correlations? Evidence from the UK49 cited