Volatility transmission in emerging European foreign exchange markets

This paper studies the dynamics of volatility transmission between Central European (CE) currencies and the EUR/USD 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 reali...

Ausführliche Beschreibung

Bibliographische Detailangaben

Veröffentlicht in:	Journal of banking & finance 2011-11, Vol.35 (11), p.2829-2841
Hauptverfasser:	Bubak, V, Kocenda, Evzen, Zikes, F
Format:	Artikel
Sprache:	eng
Schlagworte:	Currencies Economic models Emerging markets Europe European emerging markets Financial models Foreign exchange Foreign exchange markets Foreign exchange markets Volatility Spillovers Intraday data Nonlinear dynamics European emerging markets Foreign exchange rates Intraday data Nonlinear dynamics Spillovers Studies Volatility
Online-Zugang:	Volltext
Tags:	Tag hinzufügen Keine Tags, Fügen Sie den ersten Tag hinzu!