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Volatility Transmissions between Renminbi and Asia-Pacific On-Shore and Off-Shore U.S. Dollar Futures
Colavecchio, Roberta; Funke, Michael - 2007
This paper uses multivariate GARCH techniques to study volatility spillovers between the Chinese non …-variability of conditional correlation, a dynamic correlation structure is included in the volatility model specification. The … integration, in particular, that exerts the largest influence on volatility transmission …
Persistent link: https://www.econbiz.de/10014225310
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The signalling channel of central bank interventions : modelling the Yen/US Dollar exchange rate
Chen, Yu-Fu; Funke, Michael; Glanemann, Nicole - In: Open economies review 25 (2014) 2, pp. 311-336
Persistent link: https://www.econbiz.de/10010403779
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The Signaling Channel of Central Bank Interventions : Modelling the Yen/US Dollar Exchange Rate
Chen, Yu-Fu - 2013
This paper presents a theoretical framework analyzing the signalling channel of exchange rate interventions as an informational trigger. We develop an implicit target zone framework with learning in order to model the signalling channel. The theoretical premise of the model is that interventions...
Persistent link: https://www.econbiz.de/10013092279
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Assessing the CNH-CNY pricing differential : role of fundamentals, contagion and policy
Funke, Michael; Shu, Chang; Cheng, Xiaoqiang; Eraslan, … - In: Journal of international money and finance 59 (2015), pp. 245-262
Persistent link: https://www.econbiz.de/10011478339
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Assessing the CNH-CNY pricing differential : role of fundamentals, contagion and policy
Funke, Michael; Shu, Chang; Cheng, Xiaoqiang; Eraslan, … - 2015
Persistent link: https://www.econbiz.de/10010495576
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Volatility transmissions between renminbi and Asia-Pacific on-shore and off-shore U.S. dollar futures
Funke, Michael - In: China economic review : an international journal 19 (2008) 4, pp. 635-648
Persistent link: https://www.econbiz.de/10003795459
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Volatility dependence across Asia-Pacific onshore and offshore currency forwards markets
Colavecchio, Roberta; Funke, Michael - 2009
Persistent link: https://www.econbiz.de/10003974943
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Volatility dependence across Asia-Pacific onshore and offshore currency forwards markets
Colavecchio, Roberta; Funke, Michael - In: Journal of Asian economics 20 (2009) 2, pp. 174-196
Persistent link: https://www.econbiz.de/10003875047
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Volatility dependence across Asia-Pacific on-shore and off-shore U.S. dollar futures markets
Colavecchio, Roberta (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003525823
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Volatility transmissions between renminbi and Asia-Pacific on-shore and off-shore US dollar futures
Colavecchio, Roberta (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003383875