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Volatility transmission in emerging European foreign exchange markets
- 1.0364649 - NHU-C 2012 US eng V - Research Report
Kočenda, Evžen - Bubák, V. - Žikeš, F.
Volatility transmission in emerging European foreign exchange markets.
Ann Arbor: The William Davidson Institute at the University of Michigan Business School, 2011. 32 s. William Davidson Institute Working Paper Series, 1020.
R&D Projects: GA ČR(CZ) GAP403/11/0020
Institutional research plan: CEZ:MSM0021620846
Keywords : foreign exchange markets * volatility * spillovers
Subject RIV: AH - Economics
http://www.wdi.umich.edu/files/Publications/WorkingPapers/wp1020.pdf
This paper studies the dynamics of volatility transmission between Central European currencies and euro/dollar foreign exchange using model-free estimates of daily exchange rate volatility based on intraday data. We formulate a flexible yet parsimonious parametric model in which the daily realized volatility of a given exchange rate depends both on its own lags as well as on the lagged realized volatilities of the other exchange rates.
Permanent Link: http://hdl.handle.net/11104/0200080
Number of the records: 1