Narrow search
Showing 1 - 10 of 59,574
Cover Image
Volatility transmission in emerging European foreign exchange markets
Bubák, Vít; Kocenda, Evézen; Zikes, Filip - 2010
-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. …This paper studies the dynamics of volatility transmission between Central European currencies and euro/dollar foreign …
Persistent link: https://www.econbiz.de/10010270529
Cover Image
Volatility Transmission in Emerging European Foreign Exchange Markets
Bubák, Vít; Kocenda, Evžen; Zikes, Filip - CESifo - 2010
-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. …This paper studies the dynamics of volatility transmission between Central European currencies and euro/dollar foreign …
Persistent link: https://www.econbiz.de/10008572532
Cover Image
Intraday effect of news on emerging European forex markets : an event study analysis
Kočenda, Evžen; Moravcova, Michala - 2016
We analyze the impact of Eurozone/Germany and U.S. macroeconomic news announcements and the communication of the monetary policy settings of the ECB and the Fed on the forex markets of new EU members. We employ an Event Study Methodology to analyze intra-day data from 2011-2015. Our...
Persistent link: https://www.econbiz.de/10011568576
Cover Image
Intraday effect of news on emerging European forex markets : an event study analysis
Kočenda, Evžen; Moravcová, Michala - 2018
We analyze the impact of Eurozone/Germany and U.S. macroeconomic news announcements and the communication of the monetary policy settings of the ECB and the Fed on the forex markets of new EU members. We employ an event study methodology to analyze intra-day data from 2011-2015. Our...
Persistent link: https://www.econbiz.de/10011902959
Cover Image
Volatility Transmission in Emerging European Foreign Exchange Markets
Kočenda, Evžen - 2011
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 …
Persistent link: https://www.econbiz.de/10013121364
Cover Image
Intraday Effect of News on Emerging European Forex Markets: An Event Study Analysis
Kočenda, Evžen; Moravcova, Michala - 2016
We analyze the impact of Eurozone/Germany and U.S. macroeconomic news announcements and the communication of the monetary policy settings of the ECB and the Fed on the forex markets of new EU members. We employ an Event Study Methodology to analyze intra-day data from 2011-2015. Our...
Persistent link: https://www.econbiz.de/10011787283
Cover Image
Intraday Effect of News on Emerging European Forex Markets: An Event Study Analysis
Kocenda, Evžen; Moravcová, Michala - 2018
We analyze the impact of Eurozone/Germany and U.S. macroeconomic news announcements and the communication of the monetary policy settings of the ECB and the Fed on the forex markets of new EU members. We employ an event study methodology to analyze intra-day data from 2011–2015. Our...
Persistent link: https://www.econbiz.de/10011931989
Cover Image
Energy contagion in the COVID-19 crisis
Heinlein, Reinhold; Legrenzi, Gabriella; Mahadeo, Scott … - 2020
We investigate the relationship between oil prices and stock markets of selected oil importers and oil exporters at the time of the COVID-19 pandemic. We provide evidence in favour of energy contagion, in term of significantly higher correlations between oil and stock markets returns during...
Persistent link: https://www.econbiz.de/10012226706
Cover Image
Variance risk premiums in foreign exchange markets
Ammann, Manuel; Buesser, Ralf - 2013
general shape of the implied volatility function of the corresponding currency pair. Overall, we conclude that there is a …
Persistent link: https://www.econbiz.de/10010410031
Cover Image
Macroeconomic News Surprises and Volatility Spillover in the Foreign Exchange Markets
Ben Omrane, Walid - 2018
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 …
Persistent link: https://www.econbiz.de/10012940282