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  • 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.
  • 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. (en)
Title
  • Volatility transmissson in emerging European foreign exchange markets
  • Volatility transmissson in emerging European foreign exchange markets (en)
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  • Volatility transmissson in emerging European foreign exchange markets
  • Volatility transmissson in emerging European foreign exchange markets (en)
skos:notation
  • RIV/00216208:11640/10:00348760!RIV11-MSM-11640___
http://linked.open...avai/riv/aktivita
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  • P(LC542), Z(MSM0021620846)
http://linked.open...vai/riv/dodaniDat
http://linked.open...aciTvurceVysledku
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  • 296623
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  • RIV/00216208:11640/10:00348760
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  • foreign exchange markets; volatility; intraday data; nonlinear dynamics (en)
http://linked.open.../riv/klicoveSlovo
http://linked.open...ontrolniKodProRIV
  • [43D46581E4B7]
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  • České Budějovice
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  • České Budějovice
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  • 28th International Conference on Mathematical Methods in Economics 2010
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  • Kočenda, Evžen
  • Bubák, V.
  • Žikeš, F.
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number of pages
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  • University of South Bohemia in České Budějovice, Faculty of Economy
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  • 978-80-7394-218-2
http://localhost/t...ganizacniJednotka
  • 11640
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