We analyse volatility spillovers between the on- and offshore (CNY and CNH) Renminbi exchange rates towards the US … dollar (USD). The volatility impulse response (VIRF) methodology introduced by Hafner and Herwatz (2006) is applied to … in an efficient manner, allowing to analyse the significance and persistence of volatility shocks and associated …

This study investigates the impact of commodity price volatility spillovers on financial sector stability. Specifically …, the study investigates the spillover effects between oil and food price volatility and the volatility of a key …/USD) exchange rate. Volatility spillover is examined using the Generalized Vector Autoregressive (GVAR) approach and Multivariate …

This paper aims to examine the volatility spillovers among three asset classes, namely, equity, currency and credit … in order to take into account the volatility asymmetry effect under both its leverage effect and, also, in relation to … to good or bad news impacting separately. We find that the stock market is the main channel through which volatility …

This paper uses multivariate GARCH techniques to study volatility spillovers between the Chinese non …-variability of conditional correlation, a dynamic correlation structure is included in the volatility model specification. The … empirical results demonstrate that the renminbi non-deliverable forward (NDF) has been a driver of various Asian currency …

The key objective of this study is to investigate the return and volatility spillover effects among stock market … trivariate VAR BEKK GARCH (1,1) model, the study finds that there are significant return and volatility spillover effects between … and the US stock market to the Korean stock market, and the volatility spillover effect from the Japanese stock market to …

that divergence in monetary policy regimes affects forex volatility spillovers but that adding oil to a forex portfolio … shocks dominate forex volatility connectedness, positive shocks prevail when oil and forex markets are assessed jointly …

We analyze time-varying exchange rate co-movements and volatility spillovers between the Czech koruna, the Polish zloty … volatilities are due to each currency's own history. However, during the distress periods volatility spillovers among currencies …