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 …

the volatility dynamics for SF/USD and USD/GBP. We find that both series are highly persistent, and in particular, USD …. However, the estimation results of the simple semi-parametric procedure (QMLE) are virtually identical to the results of the …

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