Concepedia

Macroeconomic determinants of the long-term correlation between stock and exchange rate markets in China: A DCC-MIDAS-X approach considering structural breaks

Youlin Xiong, Jun Shen, Seong‐Min Yoon, Xiyong Dong

Finance research letters · 2024 · 11 citations · 35 references

Concepts

BusinessEconomicsFinanceFinancial EconometricsFinancial EconomicsMacroeconomicsCointegration AnalysisExchange Rate DeterminationExchange Rate PolicyExchange RatesForeign Exchange MarketsStructural Break AnalysisCointegration BreaksMacroeconomic ConditionsMultiple Structural BreaksReal Exchange Rate FluctuationsStructural BreaksStructural Breaks In Cointegration

References

35

Measuring Economic Policy Uncertainty*

Scott Baker, Nicholas Bloom, Steven J. Davis · The Quarterly Journal of Economics · 2016 · 11.9K citations · Full text

Social Sciences, Economics, Finance +9

Measuring Geopolitical Risk

Dario Caldara, Matteo Iacoviello · American Economic Review · 2022 · 3.2K citations

Social Sciences, International Relations, Political Science +17

Modeling Asymmetric Comovements of Asset Returns

Kenneth F. Kroner, Victor Ng · Review of Financial Studies · 1998 · 1.6K citations

Business, Economics, Finance +17

Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures

Kenneth F. Kroner, Jahangir Sultan · Journal of Financial and Quantitative Analysis · 1993 · 1.5K citations

Business, Economics, Finance +17

Stock Market Volatility and Macroeconomic Fundamentals

Robert F. Engle, Éric Ghysels, Bumjean Sohn · The Review of Economics and Statistics · 2012 · 1.1K citations

Business, Economics, Finance +17