We examine how regularly scheduled macroeconomic announcements for the U.S., Germany and the euro area affect the … response analysis. Second, we examine the announcements effects on market volatility in a more detailed fashion by … adequately analyze both conditional mean and volatility effects. …

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 …

rate's volatility are dominated by the other determinants. -- Exchange rate ; heterogeneity ; dispersion ; chartists …

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 …

contagion spillover volatility by focusing on a sample of major oil-exporting and oil-importing countries using daily data from …; during COVID-19; and during the Russian‒Ukrainian war. Our results confirm the persistence of volatility for the series … volatility transmission between oil prices and exchange-rate markets. However, the COVID-19 pandemic and the Russian …

reaction has increased during the recent financial crisis. News volatility has a significant impact on yield spread volatility …