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This paper uses the Japan¡¦s and the Korea¡¦s exchange rates with a factor of Switzerland¡¦s exchange rate market, discussing the model construction and their associations of between Japan¡¦s and Korea¡¦s exchange rate markets. The empirical results show that the mutual affects of the Japan¡¦s and Korea¡¦s exchange rate markets may construct in bivariate IGARCH (1, 1) model with a DCC. The empirical...
The empirical results show that the dynamic conditional correlation (DCC) and the bivariate AIGARCH (1, 1) model is appropriate in evaluating the relationship of the Taiwan's and the Korea's stock markets. The empirical result also indicates that the Taiwan and the Korea's stock markets is a positive relation. The average estimation value of correlation coefficient equals to 0.6278, which implies...
This paper uses the Thailand and the Malaysia's stock prices of material from January, 2004 to December, 2009, discussing the model construction and their association between Thailand and Malaysia's stock markets, and also uses Student's t distribution to analyze the proposed model. The empirical results show that the mutual effects of the Thailand and the Malaysia's stock markets may construct bivariate...
This paper uses the Thailand and the Singapore's stock prices of material from January, 2001 to December, 2009, discussing the model construction and their associations of between Thailand and Singapore's stock markets. The empirical results show that the mutual affects of the Thailand and the Singapore's stock markets may construct in bivariate IGARCH (1, 1) model with a DCC. The empirical result...
The empirical results show that the dynamic conditional correlation (DCC) and the bivariate AGARCH (1, 2) model appropriates in evaluating the relationship of the Italy and the Germany's stock markets. The empirical result also indicates that the Italy and the Germany's stock markets is a positive relation. The average estimation value of correlation coefficient equals to 0.878, which implies that...
This article conducts an empirical investigation examining the model construction and the association between Philippine and Indonesia exchange markets by using the data of Philippine Peso exchange rates against US Dollar and the Indonesia exchange rate against US Dollar from January 2003 to December 2009. In addition, we also adopt Student's t distribution to analyze the proposed model. The empirical...
The empirical results show that the dynamic conditional correlation (DCC) and the bivariate IGARCH (1, 1) model is appropriate in evaluating the relationship of the Singapore and the Japan's stock markets. The empirical result also indicates that the Singapore and the Japan's stock markets is a positive relation. The average estimation value of correlation coefficient equals to 0.495, which implies...
This paper studies the relatedness and the model construction of exchange rate volatility and the Japanese stock market returns. Empirical results show that we can construct a bivariate EGARCH(1, 2) model with a dynamic conditional correlation (DCC) to analyze the relationship of exchange rate volatility and Japan's stock market returns. The average estimation value of the DCC coefficient for these...
This paper studies the relatedness and the model construction of exchange rate volatility and the Thailand's stock market returns with a factor of U.S. stock market returns. Empirical results show that we can construct a bivariate IGARCH(1, 1) model with a dynamic conditional correlation (DCC) to analyze the relationship of exchange rate volatility and Thailand's stock market returns. The average...
The empirical results show that the dynamic conditional correlation (DCC) and the bivariate AGARCH (1, 2) model is appropriate in evaluating the relationship of the Hong Kong and the Japan's stock markets. The empirical result also indicates that the Hong Kong and the Japan's stock markets is a positive relation. The average estimation value of correlation coefficient equals to 0.477, which implies...
The empirical results show that the dynamic conditional correlation (DCC) and the bivariate IGARCH (1, 1) model is appropriate in evaluating the relationship of the Thailand and the Philippine's stock markets under the oil price returns of the high oil price periods. The empirical result also indicates that the Thailand and the Philippine's stock markets is a positive relation. The average estimation...
This paper studies the relatedness and the model construction of the Thailand's and the Philippine's stock market returns with a factor of oil Price market returns. Empirical results show that we can construct an error correction and a bivariate IGARCH(1, 1) model with a dynamic conditional correlation (DCC) to analyze the relationship of the Thailand's and the Philippine's stock market returns. The...
The empirical results show that the dynamic conditional correlation (DCC) and the bivariate EGARCH (1, 2) model is appropriate in evaluating the relationship of the Japan and the Korea's exchange rate markets. The empirical result also indicates that the Japan and the Korea's exchange rate markets is a positive relation. The average estimation value of correlation coefficient equals to 0.288, which...
The empirical results show that the dynamic conditional correlation (DCC) and the bivariate asymmetric-IGARCH (1, 1) model is appropriate in evaluating the relationship of the U.S. and the Canada's stock markets. The empirical result also indicates that the U.S. and the Canada's stock markets is a positive relation. The average estimation value of correlation coefficient equals to 0.686, which implies...
This paper uses the Malaysia and the Singaporepsilas stock prices of material from January 3, 2000 to July 20, 2007, discussing the model construction and their associations of between Malaysia and Singaporepsilas stock markets, and also uses Student's t distribution to analyze the proposed model. The empirical results show that the mutual affects of the Malaysia and the Singaporepsilas stock markets...
The empirical results show that the dynamic conditional correlation (DCC) and the bivariate asymmetric-IGARCH (1, 1) model is appropriate in evaluating the relationship of the U.S. and the Canadapsilas stock markets. The empirical result also indicates that the U.S. and the Canadapsilas stock markets is a positive relation. The average estimation value of correlation coefficient equals to 0.669, which...
In this paper, the researcher proposes a double threshold-IGRACH model to investigate the impacts of U.S. and U.K. stock return volatility rates for the Germany stock market. Empirical results show that the double threshold-IGRACH(1,1) model is appropriate to be used in investigating how the volatility rates of the U.S. and the U.K. stock market return affect the Germany stock returns, as well as...
The empirical results show that the dynamic conditional correlation (DCC) and the bivariate asymmetric-IGARCH (1, 2) model is appropriate in evaluating the relationship of the U.S. and the Japan's stock markets. The empirical result also indicates that the U.S. and the Japan's stock markets is a positive relation. The average estimation value of correlation coefficient equals to 0.179, which implies...
This paper studies the relatedness and the model construction of exchange rate volatility and the South Korea stock market returns. Empirical results show that we can construct a bivariate EGARCH(1, 2) model with a dynamic conditional correlation (DCC) to analyze the relationship of exchange rate volatility and Korea stock market returns. The average estimation value of the DCC coefficient for these...
In this paper, the researcher proposes a double threshold-IGRACH model to investigate the impacts of foreign investment turnover and exchange rate volatilities on the return volatility for the Taiwan stock market. Empirical result shows that the AR(2)-double threshold-IGRACH(1,1) model is appropriate to be used in investigating how the volatility rates of the foreign investment turnovers and exchange...
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