Volatility Transmission between Stock and Foreign Exchange Markets: Evidence from Nigeria
The direction of volatility transmission between stock and foreign exchange markets is important for hedging strategy, portfolio management and fi nancial market regulation. This paper examines volatility transmission between stock and foreign exchange markets by applying the multivariate GARCH mod...
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| Main Author: | |
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| Format: | Article |
| Language: | English |
| Published: |
University of Warsaw
2014-05-01
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| Series: | Journal of Banking and Financial Economics |
| Subjects: | |
| Online Access: | https://press.wz.uw.edu.pl/cgi/viewcontent.cgi?article=1103&context=jbfe |
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