Dynamics of the relationship between stock markets and exchange rates during quantitative easing and tightening
Abstract This study utilizes two complementary models, the Time-Varying Parameter Vector Autoregressive Diebold–Yilmaz (TVP-VAR-DY) and the Time-Varying Parameter Vector Autoregressive Baruník–Křehlík (TVP-VAR-BK), to investigate the dynamic volatility transmission between exchange rates and stock r...
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| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
SpringerOpen
2025-01-01
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| Series: | Financial Innovation |
| Subjects: | |
| Online Access: | https://doi.org/10.1186/s40854-024-00694-4 |
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