About: Volatility transmission in emerging European foreign exchange markets

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	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. 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)
Title	Volatility transmission in emerging European foreign exchange markets Volatility transmission in emerging European foreign exchange markets (en)
skos:prefLabel	Volatility transmission in emerging European foreign exchange markets Volatility transmission in emerging European foreign exchange markets (en)
skos:notation	RIV/00216208:11640/11:00364268!RIV13-GA0-11640___
http://linked.open...avai/predkladatel	Centrum pro ekonomický výzkum a doktorská studia
http://linked.open...avai/riv/aktivita	P Z
http://linked.open...avai/riv/aktivity	P(GAP403/11/0020), P(LC542), Z(MSM0021620841), Z(MSM0021620846)
http://linked.open...iv/cisloPeriodika	11
http://linked.open...vai/riv/dodaniDat	2013
http://linked.open...aciTvurceVysledku	Kočenda, Evžen
http://linked.open.../riv/druhVysledku	J - Článek v odborném periodiku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Univerzita Karlova v Praze / Centrum pro ekonomický výzkum a doktorská studia
http://linked.open...dnocenehoVysledku	239440
http://linked.open...ai/riv/idVysledku	RIV/00216208:11640/11:00364268
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	foreign exchange markets; volatility; spillovers (en)
http://linked.open.../riv/klicoveSlovo	spillovers volatility foreign exchange markets
http://linked.open...odStatuVydavatele	NL - Nizozemsko
http://linked.open...ontrolniKodProRIV	[25F571F2546F]
http://linked.open...i/riv/nazevZdroje	Journal of Banking & Finance
http://linked.open...in/vavai/riv/obor	AH
http://linked.open...ichTvurcuVysledku	1 (xsd:int)
http://linked.open...cetTvurcuVysledku	3 (xsd:int)
http://linked.open...vavai/riv/projekt	Center of Advanced Political Economy Research Dynamics of information flows and volatility transmission in financial markets
http://linked.open...UplatneniVysledku	2011
http://linked.open...v/svazekPeriodika	35
http://linked.open...iv/tvurceVysledku	Kočenda, Evžen Bubák, V. Žikeš, F.
http://linked.open...ain/vavai/riv/wos	000295432500005
http://linked.open...n/vavai/riv/zamer	Development of the Czech Society in the EU: challenges and risks Ekonomické dopady evropské integrace na ČR
issn	0378-4266
number of pages	13 (xsd:int)
http://bibframe.org/vocab/doi	10.1016/j.jbankfin.2011.03.012
http://localhost/t...ganizacniJednotka	11640
is http://linked.open...avai/riv/vysledek of	Volatility transmission in emerging European foreign exchange markets

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