significant intra-regional volatility spillovers among the CE foreign exchange markets. With the exception of the Czech and, prior … construct a dynamic version of the Diebold Yilmaz volatility spillover index and show that volatility spillovers tend to …This paper studies the dynamics of volatility transmission between Central European (CE) currencies and the EUR …

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 …

Using high-frequency data from the MTS trading platform, we examine return and volatility spillover effects across … securities of core countries are the largest net volatility transmitters whereas the shorter-term benchmarks of periphery … countries are the leading net receivers of volatility shocks. Moreover, the short-end and the long-end of the yield curve in …

This paper uncovers the dynamics of the asymmetric volatility spillovers across three majorcryptocurrencies (Bitcoin … 2018 to 5th June 2021, the main findings are summarized as follows:Firstly, negative (bad) volatility spillovers are more … pronounced than positive (good)spillovers, revealing the presence of asymmetric volatility effects in the cryptocurrency market …

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 …

In this survey article, we present a rich extent of literature on volatility and its propagation on financial markets … via spillovers. We document how new approaches or improved existing methodologies lead to results that offer richer …

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 …

-regional volatility spillovers among the Central European foreign exchange markets. With the exception of the Czech currency, we find no … spillover index, and show that volatility spillovers tend to increase in periods characterized by market uncertainty. -- foreign … exchange markets ; volatility ; spillovers ; intraday data ; nonlinear dynamics …

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 …