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 …

particularly interested in volatility modelling and forecasting given their importance for FOREX dealers. Compared with previous … ; volatility …

volatility (MSV) and the multivariate conditional correlation GARCH (CC-MGARCH) framework to investigate the volatility … major findings. First, the volatility in each market is very persistent. It varies over time in a predictable manner …, conditioned on the past information. Second, the volatility in the oil market Granger-causes the volatility in the FX markets but …

volatility at the turn of the millennium when Japanese foreign exchange intervention started to remain unsterilized …

cointegrated, and the Marshall-Lerner condition still holds in the case of United States. Real exchange rate volatility generated …

volatility processes. This is called a GSSF-SV model. We show that conventional MCMC algorithms for this type of model are …

capital mobility and volatility (1980:01–2009:04), the results show that the proposed hybrid model provides a coherent long …

- 1998, namely FX-rates measured against the US dollar (USD) and the Japanese yen (JPY). Ta account for volatility e1ustering … prices. Having identified subperiods of homogeneous volatility dynamics we concentrate on stylized facts to distinguish these … volatility regimes. The bottom level of estimated volatility turns out be considerably higher during the second part of the …