We investigate the evolution of dynamic interactions among five major financial assets in the Indian economy, which its recent demonetization policy tried to influence. Spillovers account for more than 25 percent of the forecast error variance in all the five markets. In terms of total...

This paper advances the literature on the dynamics of the U.S. Dollar-Mexican Peso (USD/MXN) volatility process by leveraging high-frequency data. First, it documents the factors that characterize the intraday volatility process of the USD/MXN exchange rate at high frequencies based on a sample...