Time-varying impacts of macroeconomic variables on stock market returns and volatility : evidence from Pakistan
Year of publication: |
2022
|
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Authors: | Rashid, Abdul ; Javed, Aamir ; Jehan, Zainab ; Iqbal, Uzma |
Published in: |
Romanian journal of economic forecasting. - Bucharest : Inst., ISSN 2537-6071, ZDB-ID 2428295-9. - Vol. 25.2022, 3, p. 144-166
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Subject: | returns and volatility | time-varying | interest rate | exchange rate | IPI | CPI | stock prices | GARCH model | state-space model | Volatilität | Volatility | ARCH-Modell | ARCH model | Börsenkurs | Share price | Wechselkurs | Exchange rate | Pakistan | Kapitaleinkommen | Capital income | Schätzung | Estimation | Aktienmarkt | Stock market | Zeitreihenanalyse | Time series analysis |
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