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Dynamic dependence structure between Chinese stock market returns and RMB exchange rates

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Exchange rate and stock markets during trade conflicts in the USA, China, and India

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The spillover effects among offshore and onshore RMB exchange rate markets, RMB Hibor market

Zhong, Yonghong; Harris, Richard I. D. - In: Quantitative finance and economics 4 (2020) 2, pp. 294-309

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Contagion effects of U.S. Dollar and Chinese Yuan in forward and spot foreign exchange markets

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Extreme risk spillover of the oil, exchange rate to Chinese stock market : evidence from implied volatility indexes

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Volatility transmission and volatility impulse response functions in the main and the satellite Renminbi exchange rate markets

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Volatility transmission and volatility impulse response functions in the main and the satellite Renminbi exchange rate markets

Funke, Michael; Loermann, Julius; Tsang, Andrew - 2020

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 … Bayesian estimation of the MV-GARCH BEKK model. A simple Independence Chain Metropolis-Hastings algorithm allows drawing VIRFs …