The volatility spillover effect between the foreign exchange and stock markets has been a major issue in economic and … correlation of dynamic price spillovers between the foreign exchange and stock markets. There are asymmetric volatility spillover …

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 …

negative, but, during the Covid-19 pandemic, the carry trade is the main net transmitter of volatility to all markets. Our …

of China (PRC), the renminbi (listed as CNH), directly affect the volatility of share prices of PRC banks and the overall …This paper shows that signals from the offshore Hong Kong, China spot market for the currency of the People’s Republic …. Thus, CNH market volatility is a leading indicator of onshore PRC banking sector volatility. The results suggest that …

The present study aims to investigate the volatility spillover effects in the international financial markets before … Russia and Ukraine on the transmission of volatility between the American, European and Chinese stock markets using the DY … methodology. The sample period for daily data is from 1 June 2019 to 1 June 2022, excluding holidays. The volatility spillover …