returns of nine Asian forward exchange rates. We find two regimes with different volatility levels, whereby each regime … displays considerable persistence. Our analysis provides evidence that the knock-on effects from China's currency forwards … markets upon other Asian countries have been modest, in that little evidence exists for co-dependence of volatility regimes …

We analyse volatility spillovers between the on- and offshore (CNY and CNH) Renminbi exchange rates towards the US … dollar (USD). The volatility impulse response (VIRF) methodology introduced by Hafner and Herwatz (2006) is applied to … in an efficient manner, allowing to analyse the significance and persistence of volatility shocks and associated …

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 …