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Financial Innovation, ISSN 2199-4730, 12/2016, Volume 2, Issue 1, pp. 1 - 20
The purpose of this study is to examine volatility spillover effects between stock market and foreign exchange market in selected Asian countries... 
Economics | Asian Countries | Economic Systems | Volatility spillover | Macroeconomics/Monetary Economics//Financial Economics | Stock market | EGARCH | Exchange rate
Journal Article
Global Business Review, ISSN 0972-1509, 12/2018, Volume 19, Issue 6, pp. 1567 - 1579
.... The study aims to analyse the volatility spillover effect between CNX Nifty and exchange rates covering for three different currencies, that is, USD, GBP and yen. GARCH (1,1) and EGARCH (1,1... 
Exchange rates | Volatility clustering and pooling | Leverage effect | CNX Nifty | Volatility spillover | Foreign exchange rates | Stock exchanges | Volatility | Estimation | Securities markets | Markets | Risk | Foreign exchange markets | Crises | Information dissemination
Journal Article
South African Journal of Economics, ISSN 0038-2280, 06/2013, Volume 81, Issue 2, pp. 260 - 274
This paper attempts to assess the extent of volatility spillovers between the equity market and the foreign exchange market in South Africa... 
Equity market | volatility spillover | GARCH model | G10 | C58 | foreign exchange market | MONETARY-POLICY | ECONOMICS | STOCK | Stock-exchange | Foreign exchange market | Foreign exchange
Journal Article
The Manchester School, ISSN 1463-6786, 2001, Volume 69, Issue s1, pp. 81 - 96
We investigate cross‐market volatility spillover effects across New York and London foreign exchange and equity markets... 
TRANSMISSION | INFORMATION | RETURNS | NEWS | INTERNATIONAL STOCK MARKETS | RISK | INTEREST-RATES | ECONOMICS | INTRADAY | EXPOSURE | BALANCE
Journal Article
Paradigm, ISSN 0971-8907, 12/2015, Volume 19, Issue 2, pp. 137 - 151
.... The recent turmoil in these two markets (US and Europe) has affected the entire world and a lot of volatility has been observed in all financial markets around the world... 
Journal Article
International Research Journal of Finance and Economics, ISSN 1450-2887, 2010, Volume 42, pp. 37 - 44
Journal Article
International Journal of Business, ISSN 1083-4346, 06/2007, Volume 12, Issue 3, p. 343
  The study of volatility spillovers provides useful insights into how information is transmitted from stock market to foreign exchange market and vice versa... 
Dollar (United States) | Financial markets | Foreign investments | Stocks | Prices and rates | Stock-exchange | Foreign exchange | Studies | Data transmission | Foreign exchange markets | Stochastic models | Volatility | Securities markets
Journal Article
Journal of Information and Optimization Sciences, ISSN 0252-2667, 10/2018, Volume 39, Issue 7, pp. 1417 - 1448
In this paper, we measure return and volatility spillovers in global foreign exchange (FX... 
Vector autoregression (VAR) | Returns | Forecast error variance | Volatilities | FX market | Spillover index
Journal Article
Asia Pacific Journal of Management Research and Innovation, ISSN 2319-510X, 6/2016, Volume 12, Issue 2, pp. 134 - 144
In this work, we have examined the volatility and disproportionate influence in foreign exchange markets of India and China, using daily data for the period 10 January 2006 to 23 October 2015... 
Journal Article
Macroeconomics and Finance in Emerging Market Economies: Emerging Markets: Structure and Shocks, ISSN 1752-0843, 01/2014, Volume 7, Issue 1, pp. 175 - 194
We find evidence of significant volatility co-movements and/or spillover from different financial markets to the forex market in India... 
emerging financial market | multivariate GARCH | GJR-TGARCH | volatility spillover | exchange rate | threshold GARCH
Journal Article
Economic papers. Bank of Korea, ISSN 1226-7589, 11/2001, Volume 4, Issue 2, pp. 42 - 57
Journal Article
Academy of Accounting and Financial Studies Journal, ISSN 1096-3685, 08/2017, Volume 21, Issue 2, pp. 1 - 11
... or both. India being an emerging economy the changes in exchange rates and their impact on stock market return are significant and critical in Indian context and that too post financial crisis like subprime crisis... 
Foreign exchange return | Stock market | Financial crisis | International trade | Stocks | Emerging markets | Stock-exchange | Foreign exchange market | Information management | Foreign exchange | Analysis | Foreign exchange markets | Stochastic models | Volatility | Rates of return | Securities markets
Journal Article
Manchester School, ISSN 1463-6786, 01/2001, Volume 69, Issue Supp., pp. 81 - 96
Journal Article
The ICFAI journal of applied finance, ISSN 0972-5105, 10/2014, Volume 20, Issue 4, p. 69
.... This paper attempts to investigate the volatility spillover effect between foreign exchange and stock market during different periods like pre-, post- and in-crisis period in India... 
Studies | Volatility | Securities markets | Foreign exchange markets | Financial institutions | Stochastic models | Economic crisis
Journal Article
DECISION, ISSN 0304-0941, 9/2014, Volume 41, Issue 3, pp. 261 - 270
In order to capture the volatility and asymmetric transformation effect in Indian stock and foreign exchange market, two exchange rates [US Dollar (USD) and Euro... 
Exchange rates | Volatility spillover effect | GARCH | Stock indices | EGARCH | Management/Business for Professionals | Asymmetric effect | Economics / Management Science | Studies | Volatility | Securities markets | Foreign exchange markets | Stochastic models | American dollar | Euro
Journal Article
The Manchester school, ISSN 1463-6786, 01/2001, Volume 69, p. 81
Cross-market volatility spillover effects across New York and London foreign exchange and equity markets are investigated... 
Studies | Economic models | Economic theory | Volatility | Securities markets | Foreign exchange markets | Effects
Journal Article
Journal of Business Finance & Accounting, ISSN 0306-686X, 06/2004, Volume 31, Issue 5‐6, pp. 759 - 793
We examine empirically the volatility of four major US dollar spot exchange rates using intraday data over 40 trading days... 
persistence | foreign exchange | spillovers | volatility | Prices and rates | Foreign exchange market | Models | Comparative analysis | Foreign exchange
Journal Article
The South African Journal of economics, ISSN 0038-2280, 06/2013, Volume 81, Issue 2, pp. 260 - 274
Journal Article
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