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'The Relationship between Conditional Stock Market Volatility and Conditional Macroeconomic Volatility. Empirical Evidence Based on UK Data'

Morelli, David A. (2002) 'The Relationship between Conditional Stock Market Volatility and Conditional Macroeconomic Volatility. Empirical Evidence Based on UK Data'. International Review of Financial Analysis, 11 (1). pp. 101-110. ISSN 1057-5219. (doi:10.1016/S1057-5219(01)00066-7) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:9217)

The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided.
Official URL:
http://dx.doi.org/10.1016/S1057-5219(01)00066-7

Abstract

This paper attempts to determine the relationship between conditional stock market volatility and conditional macroeconomic volatility based upon monthly UK data covering the period January 1967–December 1995. Conditional volatility is estimated using the well-known Autoregressive Conditional Heteroscedastic (ARCH), Generalised ARCH (GARCH) models. The macroeconomic variables used include industrial production, real retail sales, money supply, inflation, and an exchange rate variable, namely the German Deutsche mark/pound.

Item Type: Article
DOI/Identification number: 10.1016/S1057-5219(01)00066-7
Subjects: H Social Sciences > HG Finance
Divisions: Divisions > Kent Business School - Division > Department of Accounting and Finance
Depositing User: David Morelli
Date Deposited: 18 Oct 2008 20:52 UTC
Last Modified: 16 Nov 2021 09:47 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/9217 (The current URI for this page, for reference purposes)

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