Počet záznamů: 1

Volatility transmissson in emerging European foreign exchange markets

  1. 1.
    0348760 - NHU-C 2011 RIV CZ eng C - Konferenční příspěvek (zahraniční konf.)
    Bubák, V. - Kočenda, Evžen - Žikeš, F.
    Volatility transmissson in emerging European foreign exchange markets.
    28th International Conference on Mathematical Methods in Economics 2010. Vol. Part II. České Budějovice: University of South Bohemia in České Budějovice, Faculty of Economy, 2010 - (Houda, M.; Friebelová, J.), s. 79-83. ISBN 978-80-7394-218-2.
    [Mathematical Methods in Economics 2010. České Budějovice (CZ), 08.09.2010-10.09.2010]
    Grant CEP: GA MŠk LC542
    Výzkumný záměr: CEZ:MSM0021620846
    Klíčová slova: foreign exchange markets * volatility * intraday data * nonlinear dynamics
    Kód oboru RIV: AH - Ekonomie

    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. 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.
    Trvalý link: http://hdl.handle.net/11104/0189196