Počet záznamů: 1

Volatility transmission in emerging European foreign exchange markets

  1. 1.
    0364268 - NHU-C 2013 RIV NL eng J - Článek v odborném periodiku
    Bubák, V. - Kočenda, Evžen - Žikeš, F.
    Volatility transmission in emerging European foreign exchange markets.
    Journal of Banking & Finance. Roč. 35, č. 11 (2011), s. 2829-2841 ISSN 0378-4266
    Grant CEP: GA ČR(CZ) GAP403/11/0020; GA MŠk LC542
    Výzkumný záměr: CEZ:MSM0021620846
    Klíčová slova: foreign exchange markets * volatility * spillovers
    Kód oboru RIV: AH - Ekonomie
    Impakt faktor: 2.600, rok: 2011

    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.
    Trvalý link: http://hdl.handle.net/11104/0199793