Nieves Morales, Lucía de las - In: Cuadernos de economía 45 (2008), pp. 185-215
This paper investigates the nature of volatility spillovers between stock returns and a number of exchange rates in six … and after the introduction of the Euro and we apply the EGARCH methodology to model volatility. Our results show that the … volatility of stock returns affects the volatility of exchange rates; however, we do not find evidence of volatility transmission …
