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Dynamics of volatility spillovers with structural breaks in Indian foreign exchange market

Kashyap, Suresh; Kashyap, Sachin - In: International journal of business innovation and … 22 (2020) 4, pp. 488-505

Persistent link: https://www.econbiz.de/10012270943

Total, asymmetric and frequency connectedness between oil and forex markets

Baruník, Jozef; Kočenda, Evžen - 2019

that divergence in monetary policy regimes affects forex volatility spillovers but that adding oil to a forex portfolio … shocks dominate forex volatility connectedness, positive shocks prevail when oil and forex markets are assessed jointly …

Persistent link: https://www.econbiz.de/10012035050

Volatility spillover in the foreign exchange market : the Indian experience

Ghosh, Saurabh - In: Macroeconomics and finance in emerging market economies 7 (2014) 1, pp. 175-194

Persistent link: https://www.econbiz.de/10010339176

Crude oil, stock market, and foreign exchange return volatility and spillover : a GARCH DCC analysis of Indian and Japanese financial market

Mishra, Amritkant - In: International journal of business innovation and research 20 (2019) 1, pp. 25-46

Persistent link: https://www.econbiz.de/10012144491

Volatility spillover in foreign exchange markets

Rajhans, Rajni Kant; Jain, Anuradha - In: Paradigm : the journal of Institute of Management Technology 19 (2015) 2, pp. 137-151

Persistent link: https://www.econbiz.de/10011761392

Exchange rate co-movements, hedging and volatility spillovers in new EU forex markets

Kočenda, Evžen; Moravcová, Michala - 2017

We analyze time-varying exchange rate co-movements and volatility spillovers between the Czech koruna, the Polish zloty … volatilities are due to each currency's own history. However, during the distress periods volatility spillovers among currencies …

Persistent link: https://www.econbiz.de/10011763803