employedA.R. (k)-EGARCH (p, q) modelsto measure financial markets volatility. The study finds no significant interlink effects …Volatility in financial markets is a highly explored area of research for the last few decades. Possible reasons for … macroeconomic variables as determinants of financial markets (stock market and exchange rate) volatility. It also aims to analyse …

This article investigates the exchange rate volatility spillover and dynamic conditional correlation between the euro … autoregressive conditional heteroskedasticity (MGARCH) models, namely bivariate BEKK-GARCH (1,1) a nd DCC-GARCH(1,1). Based on two … datasets, for the crisis and post-crisis periods, the study identifies significant uni-directional volatility spillovers from …

This paper studies the dynamics of volatility transmission between Central European (CE) currencies and the EUR …/USD foreign exchange using model-free estimates of daily exchange rate volatility based on intraday data. We formulate a flexible … yet parsimonious parametric model in which the daily realized volatility of a given exchange rate depends both on its own …

This paper studies the dynamics of volatility transmission between Central European currencies and euro/dollar foreign … exchange using model-free estimates of daily exchange rate volatility based on intraday data. We formulate a flexible yet … parsimonious parametric model in which the daily realized volatility of a given exchange rate depends both on its own lags as well …