Modeling Asymmetric Volatility Spillover between Exchange Rates and Stock Markets in Egypt: A Dynamic Conditional Correlation GARCH Approach
This study examines the asymmetric volatility transmission in addition to the dynamic correlation between the Egyptian Stock Market (EGX30) and the EGP/USD currency pair following the 2016 currency flotation. By utilizing the GJR-DCC-GARCH model on the daily information from 2012 to 2023, the author...
Na minha lista:
| Hovedforfatter: | |
|---|---|
| Format: | Artigo |
| Sprog: | Árabe |
| Udgivet: |
جامعة الزقازيق، کلية التجارة
2026-01-01
|
| Serier: | Maǧallaẗ Al-Buḥūṯ Al-Tiǧāriyyaẗ |
| Fag: | |
| Online adgang: | https://zcom.journals.ekb.eg/article_476894_c0d22040bb0aae9a33ee9b70566d9550.pdf |
| Tags: |
Ingen Tags, Vær først til at tagge denne postø!
|