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https://hdl.handle.net/10419/38997
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DC Field | Value | Language |
---|---|---|
dc.contributor.author | Bubák, Vít | en |
dc.contributor.author | Kocenda, Evézen | en |
dc.contributor.author | Zikes, Filip | en |
dc.date.accessioned | 2010-06-04 | - |
dc.date.accessioned | 2010-08-18T11:19:15Z | - |
dc.date.available | 2010-08-18T11:19:15Z | - |
dc.date.issued | 2010 | - |
dc.identifier.uri | http://hdl.handle.net/10419/38997 | - |
dc.description.abstract | 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. | en |
dc.language.iso | eng | en |
dc.publisher | |aCenter for Economic Studies and ifo Institute (CESifo) |cMunich | en |
dc.relation.ispartofseries | |aCESifo Working Paper |x3063 | en |
dc.subject.jel | C50 | en |
dc.subject.jel | F31 | en |
dc.subject.jel | G15 | en |
dc.subject.ddc | 330 | en |
dc.subject.keyword | foreign exchange markets | en |
dc.subject.keyword | volatility | en |
dc.subject.keyword | spillovers | en |
dc.subject.keyword | intraday data | en |
dc.subject.keyword | nonlinear dynamics | en |
dc.subject.stw | Wechselkurs | en |
dc.subject.stw | Euro | en |
dc.subject.stw | US-Dollar | en |
dc.subject.stw | Volatilität | en |
dc.subject.stw | Spillover-Effekt | en |
dc.subject.stw | Internationaler Preiszusammenhang | en |
dc.subject.stw | Devisenmarkt | en |
dc.subject.stw | Aufstrebende Märkte | en |
dc.subject.stw | Ostmitteleuropa | en |
dc.title | Volatility transmission in emerging European foreign exchange markets | - |
dc.type | Working Paper | en |
dc.identifier.ppn | 627393586 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
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