This paper employs a BEKK-MGARCH model approach to generate the conditional variances of monthly stock exchange prices, exchange rates and interest rates for Turkey. For the sample period 2002:M1-2009:M1, before the effects of global economic crisis hit Turkey, the results indicate a significant transmission of shocks and volatility among these three financial sectors.
| Published in | International Journal of Economics, Finance and Management Sciences (Volume 1, Issue 3) |
| DOI | 10.11648/j.ijefm.20130103.16 |
| Page(s) | 166-174 |
| Creative Commons |
This is an Open Access article, distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution and reproduction in any medium or format, provided the original work is properly cited. |
| Copyright |
Copyright © The Author(s), 2013. Published by Science Publishing Group |
BEKK-MGARCH Model, Volatility Transmission, Conditional Variance
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APA Style
Serpil Türkyılmaz, Mesut Balıbey. (2013). The Relationships among Interest Rate, Exchange Rate and Stock Price: A BEKK - MGARCH Approach. International Journal of Economics, Finance and Management Sciences, 1(3), 166-174. https://doi.org/10.11648/j.ijefm.20130103.16
ACS Style
Serpil Türkyılmaz; Mesut Balıbey. The Relationships among Interest Rate, Exchange Rate and Stock Price: A BEKK - MGARCH Approach. Int. J. Econ. Finance Manag. Sci. 2013, 1(3), 166-174. doi: 10.11648/j.ijefm.20130103.16
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Download@article{10.11648/j.ijefm.20130103.16,
author = {Serpil Türkyılmaz and Mesut Balıbey},
title = {The Relationships among Interest Rate, Exchange Rate and Stock Price: A BEKK - MGARCH Approach},
journal = {International Journal of Economics, Finance and Management Sciences},
volume = {1},
number = {3},
pages = {166-174},
doi = {10.11648/j.ijefm.20130103.16},
url = {https://doi.org/10.11648/j.ijefm.20130103.16},
eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.ijefm.20130103.16},
abstract = {This paper employs a BEKK-MGARCH model approach to generate the conditional variances of monthly stock exchange prices, exchange rates and interest rates for Turkey. For the sample period 2002:M1-2009:M1, before the effects of global economic crisis hit Turkey, the results indicate a significant transmission of shocks and volatility among these three financial sectors.},
year = {2013}
}
TY - JOUR T1 - The Relationships among Interest Rate, Exchange Rate and Stock Price: A BEKK - MGARCH Approach AU - Serpil Türkyılmaz AU - Mesut Balıbey Y1 - 2013/07/20 PY - 2013 N1 - https://doi.org/10.11648/j.ijefm.20130103.16 DO - 10.11648/j.ijefm.20130103.16 T2 - International Journal of Economics, Finance and Management Sciences JF - International Journal of Economics, Finance and Management Sciences JO - International Journal of Economics, Finance and Management Sciences SP - 166 EP - 174 PB - Science Publishing Group SN - 2326-9561 UR - https://doi.org/10.11648/j.ijefm.20130103.16 AB - This paper employs a BEKK-MGARCH model approach to generate the conditional variances of monthly stock exchange prices, exchange rates and interest rates for Turkey. For the sample period 2002:M1-2009:M1, before the effects of global economic crisis hit Turkey, the results indicate a significant transmission of shocks and volatility among these three financial sectors. VL - 1 IS - 3 ER -
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