Asymmetric effects and long memory in dynamic volatility relationships between stock returns and exchange rates
Tóm tắt
Từ khóa
Tài liệu tham khảo
Aloui, 2007, Price and volatility spillovers between exchange rates and stock indexes for the pre- and post-euro period, Quantitative Finance, 7, 1, 10.1080/14697680701302653
Aloui, 2010, Value-at-risk estimations of energy commodities via long-memory, asymmetry and fat-tailed GARCH models, Energy Policy, 38, 2326, 10.1016/j.enpol.2009.12.020
Andersen, 1999, Forecasting financial market volatility: sample frequency vis-à-vis forecast horizon, Journal of Empirical Finance, 6, 457, 10.1016/S0927-5398(99)00013-4
Arouri, 2011, Volatility spillovers between oil prices and stock sector returns: implications for portfolio management, Journal of International Money and Finance, 30, 1387, 10.1016/j.jimonfin.2011.07.008
Baillie, 1996, Fractionally integrated generalized autoregressive conditional heteroskedasticity, Journal of Econometrics, 74, 3, 10.1016/S0304-4076(95)01749-6
Baillie, 2009, Modeling long memory and structural breaks in conditional variances: an adaptive FIGARCH approach, Journal of Economic Dynamics and Control, 33, 1577, 10.1016/j.jedc.2009.02.009
Beine, 2002, Central bank intervention and foreign exchange rates: new evidence from FIGARCH estimations, Journal of International Money and Finance, 21, 115, 10.1016/S0261-5606(01)00040-7
Bollerslev, 1986, Generalized heteroskedastic time series model for speculative prices and rates of return, Review of Economics and Statistics, 69, 542, 10.2307/1925546
Bollerslev, 1990, Modelling the coherence in short-run nominal exchange rates: a multivariate generalized ARCH model, Review of Economics and Statistics, 72, 498, 10.2307/2109358
Bollerslev, 1988, A capital asset pricing model with time varying covariances, Journal of Political Economy, 96, 116, 10.1086/261527
Bollerslev, 1996, Modelling and pricing long memory in stock market volatility, Journal of Econometrics, 73, 151, 10.1016/0304-4076(95)01736-4
Branson, 1983, Macroeconomic determinants of real exchange risk
Brunetti, 2000, Bivariate FIGARCH and fractional cointegration, Journal of Empirical Finance, 7, 509, 10.1016/S0927-5398(00)00021-9
Chortareas, 2011, Forecasting exchange rate volatility using high-frequency data: is the euro different?, International Journal Forecasting, 27, 1089, 10.1016/j.ijforecast.2010.07.003
Christensen, 2010, Long memory in stock market volatility and the volatility-in-mean effect: the FIEGARCH-M model, Journal of Empirical Finance, 17, 460, 10.1016/j.jempfin.2009.09.008
Conrad, 2006, Inequality constraints in the fractiobally integrated GARCH model, Journal of Financial Econometrics, 4, 413, 10.1093/jjfinec/nbj015
Conrad, 2011, Multivariate fractionally integrated APARCH modelling of stock market volatility: multi-country study, Journal of Empirical Finance, 18, 147, 10.1016/j.jempfin.2010.05.001
Conrad, 2011, Multivariate fractionally APARCH modeling of stock market volatility: a multi-country study, Journal of Empirical Finance, 18, 147, 10.1016/j.jempfin.2010.05.001
Degiannakis, 2004, Volatility forecasting: evidence from fractional integrated asymmetric power ARCH skewed-t model, Applied Financial Economics, 14, 1333, 10.1080/0960310042000285794
Dornbusch, 1980, Exchange rates and the current account, American Economic Review, 70, 960
Engle, 1982, Autoregressive conditional heteroscedasticity with estimates of the variance of UK inflation, Econometrica, 50, 987, 10.2307/1912773
Engle, 2002, Dynamic conditional correlation: a simple class of multivariate GARCH models, Journal of Business and Economic Statistics, 20, 339, 10.1198/073500102288618487
Ferreira, 2005, Evaluating interest rate covariance models within a value-at-risk framework, Journal of Financial Econometrics, 3, 126, 10.1093/jjfinec/nbi005
Frankel, 1983, Monetary and portfolio-balance models of exchange determinants
Geweke, 1983, The estimation and application of long-memory time series models, Journal of Time Series Analysis, 4, 221, 10.1111/j.1467-9892.1983.tb00371.x
Giot, 2003, Market risk in commodity markets: a VaR approach, Energy Economics, 25, 437, 10.1016/S0140-9883(03)00052-5
Giraitis, 2003, Rescaled variance and related tests for long memory in volatility and levels, Journal of Econometrics, 112, 265, 10.1016/S0304-4076(02)00197-5
Granger, 2000, A bivariate causality between stock prices and exchange rates: evidence from recent Asian flu, Quarterly Journal of Economics and Finance, 40, 337, 10.1016/S1062-9769(00)00042-9
Kanas, 2000, Volatility spillovers between stock returns and exchange rate changes: international evidence, Journal of Business Finance and Accounting, 27, 447, 10.1111/1468-5957.00320
Kang, 2010, Long memory volatility in Chinese stock markets, Physica A, 389, 1425, 10.1016/j.physa.2009.12.004
Kang, 2009, Forecasting volatility of crude oil markets, Energy Economics, 31, 119, 10.1016/j.eneco.2008.09.006
Kasman, 2009, Dual long memory property in returns and volatility: evidence from the CEE countries’ stock markets, Emerging Markets Review, 10, 122, 10.1016/j.ememar.2009.02.002
Kiliç, 2011, Long memory and nonlinearity in conditional variances: A smooth transition FIGARCH model, Journal of Empirical Finance, 18, 368, 10.1016/j.jempfin.2010.11.007
Kupiec, 1995, Technique for verifying the accuracy of risk measurement models, Journal of Derivatives, 2, 173
Kwiatkowski, 1992, Testing the null hypothesis of stationarity against the alternative of unit root, Journal of Econometrics, 54, 159, 10.1016/0304-4076(92)90104-Y
Lopez, 2001, Evaluating covariance matrix forecasts in a value-at-risk framework, Journal of Risk, 3, 42, 10.21314/JOR.2001.044
Mun, 2007, Volatility and correlation in international stock markets and the role of exchange rate fluctuations, Journal of International Financial Markets, Institutions and Money, 17, 25, 10.1016/j.intfin.2005.08.006
Nelson, 1992, Inequality constraints in the univariate GARCH model, Journal of Busines and Economic Statistics, 10, 229, 10.1080/07350015.1992.10509902
Pan, 1999, Fractional cointegration, long memory, and exchange rate dynamics, International Review of Economics and Finance, 8, 305, 10.1016/S1059-0560(99)00027-1
Robinson, 1995, Log-periodogram regression of time series with long range dependence, Annals of Statistics, 23, 1048, 10.1214/aos/1176324636
Soofi, 2006, Testing for long memory in the Asian foreign exchange rates, Journal of Systems Science and Complexity, 19, 182, 10.1007/s11424-006-0182-5
Tang, 2006, Long memory in stock index futures markets: a value-at-risk approach, Physica A, 366, 437, 10.1016/j.physa.2005.10.017
Tse, 1998, The conditional heteroscedasticity of the yen-dollar exchange rate, Journal of Applied Econometrics, 13, 49, 10.1002/(SICI)1099-1255(199801/02)13:1<49::AID-JAE459>3.0.CO;2-O
Wu, 2001, Exchange rates, stock prices, and money markets: evidence from Singapore, Journal of Asian Economics, 12, 445, 10.1016/S1049-0078(01)00107-5
Yang, 2004, Price and volatility spillovers between stock prices and exchange rates: empirical evidence from the G7 countries, International Journal of Business and Economics, 3, 139