The study of volatility spillovers provides useful insights into how information is transmitted from stock market to … foreign exchange market and vice versa. This paper explores volatility spillovers between the Indian stock and foreign … exchange markets. The results indicate that there exists a bidirectional volatility spillover between the Indian stock market …

volatility models reveal significant volatility transmission between most of the countries. On the other hand, the use of time …

This paper addresses the central open issue in exchange rate economics: the link between exchange rate volatility and … economic fundamentals. In the framework of a multivariate volatility model that allows for volatility spillover, we develop a … foreign exchange volatility. We show that news announcement effects include two components; a direct and an indirect effect …

This article investigates the exchange rate volatility spillover and dynamic conditional correlation between the euro … datasets, for the crisis and post-crisis periods, the study identifies significant uni-directional volatility spillovers from … the euro to the rand during crisis and post-crisis periods. Further, increased volatility spillovers and time …

We find evidences of significant volatility co-movements and/ or spillover from different financial markets to forex … market for Indian economy. Among a large number of variables examined, volatility spillovers from stock market, government … to be most important. Empirical findings also indicate that the volatility spillover differed across variables in terms …

linkage between the equity markets, both in regards of returns and volatility, as well as in currency markets. While analyzing … the relationship between currency and stock markets we found unidirectional volatility spillovers from currency to stock …