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...

This paper re-examines evidence of volatility persistence and long memory in the light of potential time-variation in the unconditional mean of the volatility series. Daily equity volatility is generally regarded as exhibiting long memory, however, recent evidence has suggested that long memory...

This paper re-examines evidence of volatility persistence and long memory in the light of potential time-variation in the unconditional mean of the volatility series. Daily equity volatility is generally regarded as exhibiting long memory, however, recent evidence has suggested that long memory...

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...