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• W2903737564 abstract "This paper aims to investigate the inter-dependence of exchange rate and stock index from Japan. For this purpose, we use a dynamic conditional correlation (DCC) model into a multivariate Fractionally Integrated Exponential GARCH (FIGARCH). Framework takes account long memory and time varying correlations. Our findings reveal time-varying Co-movements evidence, a high persistence of conditional correlation and dynamic correlations revolve around a constant level. The findings support the idea of cross-market hedging and sharing of common information by investors. Â JEL classification numbers: C51, C58, F31, G12." @default.
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• W2903737564 date "2018-01-01" @default.
• W2903737564 modified "2023-09-24" @default.
• W2903737564 title "On the Co-movements between Exchange Rate and Stock Price from Japan: A Multivariate FIGARCH-DCC Approach" @default.
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