Quantile Dependence between Foreign Exchange Market and Stock Market: The Case of Korea
Author
Abstract
Suggested Citation
DOI: 10.11644/KIEP.EAER.2016.20.4.320
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Citations
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Cited by:
- Labidi, Chiaz & Rahman, Md Lutfur & Hedström, Axel & Uddin, Gazi Salah & Bekiros, Stelios, 2018. "Quantile dependence between developed and emerging stock markets aftermath of the global financial crisis," International Review of Financial Analysis, Elsevier, vol. 59(C), pages 179-211.
- Rahman, Md Lutfur & Hedström, Axel & Uddin, Gazi Salah & Kang, Sang Hoon, 2021. "Quantile relationship between Islamic and non-Islamic equity markets," Pacific-Basin Finance Journal, Elsevier, vol. 68(C).
- Nevi Danila & Bunyamin & Ahmad Djalaluddin & Yudha Fathony, 2023. "Do Foreign Fund Flows Influence the Stock Market Index? Evidence From Indonesia," SAGE Open, , vol. 13(4), pages 21582440231, October.
- Laura Garcia-Jorcano & Lidia Sanchis-Marco, 2023. "Measuring Systemic Risk Using Multivariate Quantile-Located ES Models," Journal of Financial Econometrics, Oxford University Press, vol. 21(1), pages 1-72.
More about this item
Keywords
Quantile; Cross-Quantilogram; Spillover; Foreign Exchange Market; Stock Market;All these keywords.
JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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