Testing for causality-in-variance: An application to the East Asian markets

International Journal of Finance and Economics

Volumn 7, Issue 3, 2002, Pages 235-245

  Caporale, Guglielmo Maria ^a   Pittis, Nikitas ^b   Spagnolo, Nicola ^c  

^a LONDON SOUTH BANK UNIVERSITY   (United Kingdom)

^b UNIVERSITY OF PIRAEUS   (Greece)

^c BRUNEL UNIVERSITY   (United Kingdom)

Author keywords

Causality; Exchange rate; GARCH BEKK representation; Stock prices; Volatility

Indexed keywords

CAPITAL MARKET; EXCHANGE RATE; SPILLOVER EFFECT; STOCK MARKET;

ASIA;

EID: 0036373022     PISSN: 10769307     EISSN: None     Source Type: Journal    
DOI: 10.1002/ijfe.185     Document Type: Article

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