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An application of variance ratio test to the Korean securities market

✍ Scribed by O.Felix Ayadi; C.S. Pyun

Book ID
116134859
Publisher
Elsevier Science
Year
1994
Tongue
English
Weight
952 KB
Volume
18
Category
Article
ISSN
0378-4266

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## Abstract In this paper we provide some empirical evidence on the casual relationship between stock prices and exchange rates volatility in four East Asian countries. In order to test for causality‐in‐variance, we use a GARCH model for which a BEKK representation is adopted, and then test for the