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Finance and Credit
 

Methodological aspects of evaluation function currency and stock markets in crisis

Vol. 16, Iss. 35, SEPTEMBER 2010

Available online: 23 September 2010

Subject Heading: The financial market

JEL Classification: 

Fedorova E.A. Associate Professor of Financial Management All-Russia Financial and Economic Institute, Moscow
ecolena@mail.ru

This article discusses the methodological apparatus of assessing the interdependence of currency and stock markets. To identify the relationship between markets used econometric modeling: causal analysis Grenzhera-cosalite, the construction of a vector autoregressive models. The proposed methodological apparatus can be used to assess the interdependence of the time series in the short and long term.

Keywords: econometric modeling, stock markets, exchange rate, vector autoregressive models, series stationary, correlation analysis, analysis of causation

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ISSN 2311-8709 (Online)
ISSN 2071-4688 (Print)

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