Forthcoming inEMERGING MARKETS REVIEW
W. Chkil, C. Aloui, O. Masood and J. Fry
Accepted Manuscript available on Sciendirect.
Merci, pour l'inérêt porté à la lecture de cet article. En fait, le papier est désormais disponible sur le site de la revue via sciendirect.
Emerging Markets Review, Volume 12, Issue 2, June 2011, Page IFC
Stock market volatility and exchange rates in emerging countries: A Markov-state switching approach
Emerging Markets Review, In Press, Accepted Manuscript, Available online 19 April 2011
Chkili Walid, Aloui Chaker, Omar Masood, John Fry
Dear Mr. Chaker,
My name is Moldovan Maxim. I'm doing my Master Degree in Finance and Banking (DOFIN) at the Academy of Economic Studies form Bucharest, Romania.
I read you paper: "Stock market volatility and exchange rates in emerging countries: A Markov-state switching approach", a very interesting paper about the dynamic linkage between stock price volatility and exchange rate changes. I would like to apply the methodology used in your paper to study the same issue for Romania and other neighbours from ECE region for my master dissertation.
I would be very grateful if you could provide me some support about the econometric codes for MS-EGARCH model and augmented MS-EGARCH model (with variable transition probabilities). Is it possible to receive the econometric code that you used to generate the results form your paper and compare them with my results?
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