Quantile Dependence between Foreign Exchange Market and Stock Market: The Case of Korea
This paper examines quantile dependence and directional predictability between the foreign exchange market and the stock market in Korea. Instead of adopting a multivariate model such as a vector autoregressive model, a multivariate GARCH model or a combination of both models, we apply the cross-qua...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Korea Institute for International Economic Policy
2016-12-01
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| Series: | East Asian Economic Review |
| Subjects: | |
| Online Access: | http://dx.doi.org/10.11644/KIEP.EAER.2016.20.4.320 |