Dynamic Relationship and Volatility Spillover between the Stock Market and the Foreign Exchange Market in Pakistan: Evidence from VAR-EGARCH Modelling
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Cited by:
- Ghouse, Ghulam & Khan, Saud Ahmed & Arshad, Muhammad, 2015.
"Time Varying Volatility Modeling of Pakistani and leading foreign stock markets,"
MPRA Paper
70080, University Library of Munich, Germany.
- Ghouse, Ghulam & Khan, Saud Ahmed & Arshad, Muhammad, 2015. "Time Varying Volatility Modeling of Pakistani and leading foreign stock markets," MPRA Paper 70117, University Library of Munich, Germany.
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More about this item
Keywords
Stock Market; Foreign Exchange Market; EGARCH; Volatility Spillover; Stock Market Return; Foreign Exchange Return; Pakistan;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- F31 - International Economics - - International Finance - - - Foreign Exchange
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- R10 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General Regional Economics - - - General
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