This paper examines co-movements and volatility spillovers in the returns of the euro, the British pound, the Swiss … franc and the Japanese yen vis-à-vis the US dollar before and after the introduction of the euro. Based on dynamic … significant co-movements and volatility spillovers across the four exchange returns, but their extend is, on average, lower in the …

differentials between nine of these currencies are generally positive (sample mean of 0.86%) but are strongly negative for Japan …

The paper evaluates the present and future international currency status of the US dollar, the euro and the yen. In … established in 1999. The comparatively weak international status of the yen, currently ranked third, is briefly sketched in …

This paper considers the long memory volatility property in the daily return data of six major Asian exchange rates of … volatility property and the FIGARCH model appears to be quite appropriate to represent the daily Asian returns. Then, this paper …‐FIGARCH model with the lagged dummy variables to account for the effects of the QE policies on the mean and the volatility process …