Number of the records: 1
Volatility transmission in emerging European foreign exchange markets
- 1.
SYSNO ASEP 0364268 Document Type J - Journal Article R&D Document Type Journal Article Subsidiary J Článek ve WOS Title Volatility transmission in emerging European foreign exchange markets Author(s) Bubák, V. (CZ)
Kočenda, Evžen (NHU-C) RID
Žikeš, F. (CZ)Source Title Journal of Banking & Finance. - : Elsevier - ISSN 0378-4266
Roč. 35, č. 11 (2011), s. 2829-2841Number of pages 13 s. Language eng - English Country NL - Netherlands Keywords foreign exchange markets ; volatility ; spillovers Subject RIV AH - Economics R&D Projects GAP403/11/0020 GA ČR - Czech Science Foundation (CSF) LC542 GA MŠMT - Ministry of Education, Youth and Sports (MEYS) CEZ MSM0021620846 - NHU-C UT WOS 000295432500005 DOI 10.1016/j.jbankfin.2011.03.012 Annotation 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. We find evidence of statistically significant intra-regional volatility spillovers among the Central European foreign exchange markets. With the exception of the Czech currency, we find no significant spillovers running from euro/dollar to the Central European foreign exchange markets. To measure the overall magnitude and evolution of volatility transmission over time, we construct a dynamic version of the Diebold-Yilmaz volatility spillover index, and show that volatility spillovers tend to increase in periods characterized by market uncertainty. Workplace Economics Institute - CERGE Contact Tomáš Pavela, pavela@cerge-ei.cz, Tel.: 224 005 122 Year of Publishing 2013
Number of the records: 1