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Volatility dependence across Asia-Pacific on-shore and off-shore U.S. dollar futures markets
Colavecchio, Roberta; Funke, Michael - Institut für Makroökonomie und Wirtschaftspolitik, … - 2007
displays considerable persistence. Our analysis provides evidence that the knock-on effects from China´s U.S. dollar future …
Persistent link: https://www.econbiz.de/10005247756
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Volatility Dependence across Asia-Pacific Onshore and Offshore Currency Forwards Markets
Colavecchio, Roberta; Funke, Michael - Hong Kong Institute for Monetary Research (HKIMR), … - 2009
displays considerable persistence. Our analysis provides evidence that the knock-on effects from China¡¦s currency forwards …
Persistent link: https://www.econbiz.de/10005357432
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Volatility Transmission between Renminbi and Asia-Pacific on-shore and off-shore U.S. dollar futures
Colavecchio, Roberta; Funke, Michael - Institut für Makroökonomie und Wirtschaftspolitik, … - 2008
This paper uses multivariate GARCH techniques to study volatility spillovers between the Chinese non-deliverable forward market and seven of its Asia-Pacific counterparts over the period January 1998 to March 2005. To account for the time-variability of conditional correlation, a dynamic...
Persistent link: https://www.econbiz.de/10005823534
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Volatility Transmission between Renminbi and Asia-Pacific on-shore and off-shore U.S. dollar futures
Funke, Michael; Colavecchio, Roberta - Institut für Makroökonomie und Wirtschaftspolitik, … - 2008
This paper uses multivariate GARCH techniques to study volatility spillovers between the Chinese non-deliverable forward market and seven of its Asia-Pacific counterparts over the period January 1998 to March 2005. To account for the time-variability of conditional correlation, a dynamic...
Persistent link: https://www.econbiz.de/10010559464
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Volatility dependence across Asia-Pacific onshore and offshore currency forwards markets
Funke, Michael; Colavecchio, Roberta - Institut für Makroökonomie und Wirtschaftspolitik, … - 2009
displays considerable persistence. Our analysis provides evidence that the knock-on effects from China’s currency forwards …
Persistent link: https://www.econbiz.de/10010559465