Investigating Spillover Effects between Foreign Exchange Rate Volatility and Commodity Price Volatility in Uganda

Art�culos similares

The Asymmetric Effects of Real and Nominal Uncertainty on Inflation and Output Growth: Empirical Evidence from Bangladesh

Acceso

Said Zamin Shah,Ahmad Zubaidi Baharumshah,Muzafar Shah Habibullah,Law Siong Hook P�g. 377 - 386

This study examines an empirical analysis of the causal links and volatility spillovers between inflation, output growth and their uncertainties in Bangladesh by utilizing the AR(p)-EGARCH model for the period 1993-2014. The study shows that EGARCH versi... ver m�s

Revista: International Journal of Economics and Financial Issues

The Glosten-Jagannathan-Runkle-Generalized Autoregressive Conditional Heteroscedastic Approach to Investigating the Foreign Exchange Forward Premium Volatility

Acceso

Nessrine Hamzaoui,Boutheina Regaieg P�g. 1608 - 1615

This paper empirically investigates the volatility dynamics of the EUR/USD forward premium via GARCH-M (1,1) and GJR-GARCH(1,1) and GJR-GARCH(1,1)-M models. Our empirical analysis is based on daily data related to the EUR/USD forward premiums. Our daily ... ver m�s

Revista: International Journal of Economics and Financial Issues

Pricing of Risk, Various Volatility Dynamics and Macroeconomic Exposure of Firm Returns: New Evidence on Age Effect

Acceso

Faisal Khan,Saif Ur Rehman Khan,Hashim Khan P�g. 551 - 561

While investigating the role of age effect in detecting the risks-return tradeoff, various volatility dynamics and macroeconomic exposure of firm returns, this research study employs monthly data from Pakistani stock market for the period from 1998 to 20... ver m�s

Revista: International Journal of Economics and Financial Issues

Investigating Spillover Effects between Foreign Exchange Rate Volatility and Commodity Price Volatility in Uganda

Art�culos similares

Revistas destacadas