Market, interest rate, and exchange rate risk effects on financial stock returns during the financial crisis: AGARCH-M approach
Author:
Affiliation:
1. LARTIGE (Laboratory of Research), University of Sfax, Sfax, Tunisia
2. Finance and Accounting, University of Sfax, Sfax, Tunisia
Publisher
Informa UK Limited
Subject
Economics and Econometrics,Finance
Link
https://www.tandfonline.com/doi/pdf/10.1080/23322039.2015.1125332
Reference31 articles.
1. Analyzing time–frequency relationship between interest rate, stock price and exchange rate through continuous wavelet
2. Dynamic correlation analysis of spill-over effects of interest rate risk and return on Australian and US financial firms
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