Exchange rate volatility and its effect on stock market volatility

K. Kennedy; F. Nourzad

Volume 1, Issue 1 , January 2016, , Pages 37-46

http://dx.doi.org/10.7508/ijhcum.2016.01.005

Abstract
  This paper investigates empirically the effect of volatility of the exchange rate of the U.S. dollar vis-à-vis the euro on U.S. stock market volatility while controlling for a number of drivers of stock return volatility. Using a GARCH(1, 1) model and using weekly data covering the period from ...  Read More