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The Relationships among Interest Rate, Exchange Rate and Stock Price: A BEKK - MGARCH Approach

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Figure

Table 1. Descriptive Statistics of Returns of Stock Exchange Prices, Exchange Rate, Interest Rate
Table 3. VAR Lag Order Selection Criteria
Table 6. Residual Diagnostics of VECM(1) BEKK-GARCH(1,1)
Fig.3. Estimated Conditional Variances for BEKK-GARCH(1,1) Model

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