McMillan, David G.; Ruiz, Isabel - In: International Journal of Financial Markets and Derivatives 1 (2009) 1, pp. 64-74
In this paper we use three euro exchange rates to test for the presence of volatility spillovers, common volatility components and time-varying correlations using the multivariate-GARCH model and the common volatility methodology approach proposed by Engle and Kozicki (1993). Our results suggest...
