Renatas Kizys
University of York
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Publication
Featured researches published by Renatas Kizys.
Applied Financial Economics Letters | 2007
Renatas Kizys; Christian Pierdzioch
We develop a tractable time-varying parameter model that can be used to simultaneously study variation over time and nonlinearity in the link between stock returns and exchange rate returns (exchange rate exposure). We estimate our model using monthly data for the period 1970 to 2006 for three major industrialized countries: Japan, United Kingdom and the United States. We report evidence of nonlinear exchange rate exposure, and evidence that exchange rate exposure has significantly changed over time.
Journal of International Financial Markets, Institutions and Money | 2009
Renatas Kizys; Christian Pierdzioch
Global Finance Journal | 2006
Renatas Kizys; Christian Pierdzioch
Czech Journal of Economics and Finance | 2011
Renatas Kizys; Christian Pierdzioch
International Review of Economics & Finance | 2010
Renatas Kizys; Christian Pierdzioch
Economics Bulletin | 2011
Renatas Kizys; Christian Pierdzioch
International Economics and Economic Policy | 2010
Christian Pierdzioch; Renatas Kizys
Quantitative and Qualitative Analysis in Social Sciences | 2007
Renatas Kizys; Peter Spencer
The Banking and Finance Review | 2010
Renatas Kizys; Christian Pierdzioch
Journal of Economics and Business | 2011
Renatas Kizys; Christian Pierdzioch
