کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
977686 1480200 2006 14 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Estimating time-varying conditional correlations between stock and foreign exchange markets
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات فیزیک ریاضی
پیش نمایش صفحه اول مقاله
Estimating time-varying conditional correlations between stock and foreign exchange markets
چکیده انگلیسی

This study explores the dynamic interaction between stock market returns and changes in nominal exchange rates. Many financial variables are known to exhibit fat tails and autoregressive variance structure. It is well-known that unconditional covariance and correlation coefficients also vary significantly over time and multivariate generalized autoregressive model (MGARCH) is able to capture the time-varying variance-covariance matrix for stock market returns and changes in exchange rates. The model is applied to daily Euro-Dollar exchange rates and two stock market indexes from the US economy: Dow-Jones Industrial Average Index and S&P500 Index. The news impact surfaces are also drawn based on the model estimates to see the effects of idiosyncratic shocks in respective markets.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 360, Issue 2, 1 February 2006, Pages 445–458
نویسندگان
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