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Testing for Causality in Mean and Variance between the Stock Market and the Foreign Exchange Market: An Application to the Major Central and Eastern European Countries
16 references·1 citing·41 second hop
Testing for Causality in Mean and Variance between the Stock Market and the Foreign Exchange Market: An Application to the Major Central and Eastern European Countries (2013)Testing for Causality in Mean and Varianc…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…A bivariate causality between stock prices and exchange rates: evidence from recent Asianflu☆ (2000)A bivariate causality between…Volatility in Emerging Stock Markets (1999)Volatility in Emerging Stock …Exchange rate and stock price interactions in emerging financial markets: evidence on India, Korea, Pakistan and the Philippines (1997)Exchange rate and stock price…A causality-in-variance test and its application to financial market prices (1996)A causality-in-variance test …Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance (1994)Use of Cumulative Sums of Squ…Exchange rate exposure and industry characteristics: evidence from Canada, Japan, and the USA (1993)Exchange rate exposure and in…Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Testing the null hypothesis o…Stock prices and the effective exchange rate of the dollar (1992)Stock prices and the effectiv…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Persistence in Variance, Structural Change, and the GARCH Model (1990)Persistence in Variance, Stru…Testing for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…Pricing to Market when the Exchange Rate Changes (1986)Pricing to Market when the Ex…Exchange Rates and the Current Account. (1980)Exchange Rates and the Curren…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimator…Impacts of short-term interest rates on stock returns and exchange rates: Empirical evidence from EAGLE countries (2016)Impacts of short-term interes…Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test (1999)Unit root tests for panel data (2001)Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. 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this work references cited by second hop

References

  • 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
  • 1988Testing for a Unit Root in Time Series Regression19,288 cited
  • 1992Testing the null hypothesis of stationarity against the alternative of a unit root12,634 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1990Persistence in Variance, Structural Change, and the GARCH Model1,188 cited
  • 1994Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance1,180 cited
  • 1986Pricing to Market when the Exchange Rate Changes1,052 cited
  • 1980Exchange Rates and the Current Account.1,042 cited
  • 2000A bivariate causality between stock prices and exchange rates: evidence from recent Asianflu☆785 cited
  • 1999Volatility in Emerging Stock Markets735 cited
  • 1993Exchange rate exposure and industry characteristics: evidence from Canada, Japan, and the USA672 cited
  • 1996A causality-in-variance test and its application to financial market prices520 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 Philippines

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466 cited
  • 2001A test for volatility spillover with application to exchange rates443 cited
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    • 2016Impacts of short-term interest rates on stock returns and exchange rates: Empirical evidence from EAGLE countries14 cited