Exchange rate volatility and its effect on stock market volatility
This paper investigates empirically the effect of volatility of the exchange rate of the U.S. dollar vis-à-vis the euro on U.S. stock market volatility while controlling for a number of drivers of stock return volatility. Using a GARCH(1, 1) model and using weekly data covering the period from the w...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Tehran Muncipality
2016-01-01
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| Series: | International Journal of Human Capital in Urban Management |
| Subjects: | |
| Online Access: | http://www.ijhcum.net/article_19121_a4c266151330aafd7795dda447eab298.pdf |