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

This paper examines co-movements and volatility spillovers in the returns of the euro, the British pound, the Swiss … significant co-movements and volatility spillovers across the four exchange returns, but their extend is, on average, lower in the … latter period. Return co-movements and volatility spillovers show large variability though, and are positively associated …

further developed by Engle and Kroner (1995)) to examine the return and volatility spillover between India and four leading …-a-vis US and UK markets. Volatility transmission from India to Asian markets was found to be significantly higher as compared … with respect to volatility transmission to India from International markets. Originality/value - The results show that for …

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 …