Nonlinear bidirectional multiscale volatility transmission effect between stocks and exchange rate markets in the selected African countries
This paper investigates the multiscale bidirectional volatility spillover effect between the national stocks and exchange rate markets in four African countries – Nigeria, South Africa, Egypt and Morocco. Our computations involve the wavelet transformation of the empirical series, creation of the re...
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Taylor & Francis Group
2021-01-01
|
| Series: | Ekonomska Istraživanja |
| Subjects: | |
| Online Access: | http://dx.doi.org/10.1080/1331677X.2020.1844585 |