exchange rate is unobserved, and an additional equation that links this autarchic currency price with the FX order flow. The … autarchic (i.e. fundamental) FX returns. The model is calibrated and tested on the Czech koruna/euro exchange rate in a setting … with seven Czech and euro area asset returns. …

or weak, in the sense that the dependence remains or vanishes asymptotically. We show that if one currency return reaches … crisis levels, the probability that the other currency breaks down as well vanishes asymptotically if the fundamentals … probability that the other currency breaks down as well remains strictly positive even in the limit. This result implies that …

relative to movements in six major developed country currency pairs. As indicator variables changes in various relative asset … prices, short-term portfolio flows and currency options data are used. We find that changes in equity index differentials …, short-term speculative flows and risk reversals on currency options prices exhibit consistent contemporaneous indicator …

participating currencies are in effect identical from inception of a currency union, the convergence process to such an identical …

Within a two-step GARCH framework we explore the linkages between equity returns of ten sectors in the euro area, the … United States and Japan, respectively. Our estimation framework allows a distinction to be made between spillover effects … originating from one of the three currency areas and intrasectoral spillover effects. We use daily data from the period between …