Kocenda, Evzen; Bubak, Vit; Zikes, Filip - William Davidson Institute, University of Michigan - 2011
significant intra-regional volatility spillovers among the CE foreign exchange markets. With the exception of the Czech and, prior … to the recent turbulent economic events, Polish currencies, we find no significant spillovers running from the EUR/USD to … construct a dynamic version of the Diebold-Yilmaz volatility spillover index and show that volatility spillovers tend to …