Add to ORKGThis paper establishes the link of microstructure and macroeconomic factors to the time-varying conditional correlation of foreign exchange and excess equity returns. By using the proposed DCC model with exogenous variables, capital flows and interest rate differentials are shown to be significant factors in driving this conditional correlation. Furthermore, using this model it provides evidence of the dynamic behavior of global investors as they seek parity in equity returns between home and foreign markets to reduce exchange rate risks
We explore whether the pattern of international equity returns, equity portfolio flows, and exchange...
This paper examines the dynamic relationship between stock returns and exchange rate changes using d...
Macroeconomic models of equity returns perform poorly. The proportion of daily index re-turns that t...
This paper establishes the link of microstructure and macroeconomic factors with the time-varying co...
This paper establishes the link of microstructure and macroeconomic factors to the time-varying cond...
The paper models the dynamic conditional correlations in emerging stock, bond and foreign exchange m...
Macroeconomic models of equity and exchange rate returns perform poorly at high frequencies. The pro...
This paper attempts to find economic and financial factors contributing to the changing correlations...
Macroeconomic models of equity and exchange rate returns perform poorly at high frequencies. The pro...
Using data on twenty major OECD countries over time, this paper documents a new evidence on real equ...
We explore whether the pattern of international equity returns, equity portfolio flows, and exchange...
We develop an equilibrium model in which exchange rates, stock prices, and capital flows are jointly...
This paper examines the importance of exchange rate risk in the return generating process for a larg...
We examine the dynamic relationship between stock returns and exchange rate changes using daily data...
The objective of the current paper is to explore the co-movements between domestic equity sectors in...
We explore whether the pattern of international equity returns, equity portfolio flows, and exchange...
This paper examines the dynamic relationship between stock returns and exchange rate changes using d...
Macroeconomic models of equity returns perform poorly. The proportion of daily index re-turns that t...
This paper establishes the link of microstructure and macroeconomic factors with the time-varying co...
This paper establishes the link of microstructure and macroeconomic factors to the time-varying cond...
The paper models the dynamic conditional correlations in emerging stock, bond and foreign exchange m...
Macroeconomic models of equity and exchange rate returns perform poorly at high frequencies. The pro...
This paper attempts to find economic and financial factors contributing to the changing correlations...
Macroeconomic models of equity and exchange rate returns perform poorly at high frequencies. The pro...
Using data on twenty major OECD countries over time, this paper documents a new evidence on real equ...
We explore whether the pattern of international equity returns, equity portfolio flows, and exchange...
We develop an equilibrium model in which exchange rates, stock prices, and capital flows are jointly...
This paper examines the importance of exchange rate risk in the return generating process for a larg...
We examine the dynamic relationship between stock returns and exchange rate changes using daily data...
The objective of the current paper is to explore the co-movements between domestic equity sectors in...
We explore whether the pattern of international equity returns, equity portfolio flows, and exchange...
This paper examines the dynamic relationship between stock returns and exchange rate changes using d...
Macroeconomic models of equity returns perform poorly. The proportion of daily index re-turns that t...