The Study of Interdependence Between Capital and Currency Markets Using Multivariate GARCH Models
DOI:
https://doi.org/10.12775/DEM.2009.011Keywords
Multivariate GARCH Model, independence analysis, stock exchange, exchangerateAbstract
In the article an attempt was made to investigate the interaction among the various stock exchanges as well as various exchange rates and then to determine the direction of information flow between capital and currency markets. Tools used in this study are Multivariate GARCH models. Presented results developed an earlier study of World Stock Exchange classification. These stock exchanges will be further analysed according to their interaction.
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