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Testing causality between two vectors in multivariate GARCH models

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Robust score and portmanteau tests of volatility spillover

Aguilar, Mike; Hill, Jonathan B. - In: Journal of econometrics 184 (2015) 1, pp. 37-61

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Around-the-clock USD/MXN volatility: macroeconomic announcement spillovers and FX market intervention mechanisms

Pedroza, Wilfrido Jurado - 2021

This paper advances the literature on the dynamics of the U.S. Dollar-Mexican Peso (USD/MXN) volatility process by leveraging high-frequency data. First, it documents the factors that characterize the intraday volatility process of the USD/MXN exchange rate at high frequencies based on a sample...

Persistent link: https://www.econbiz.de/10012584134