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 …

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 …

This paper aims to examine the volatility spillovers among three asset classes, namely, equity, currency and credit … in order to take into account the volatility asymmetry effect under both its leverage effect and, also, in relation to … to good or bad news impacting separately. We find that the stock market is the main channel through which volatility …

; volatility spillover ; multivariate GARCH ; threshold GARCH ; GJR-TGARCH …We find evidences of significant volatility co-movements and/ or spillover from different financial markets to forex … market for Indian economy. Among a large number of variables examined, volatility spillovers from stock market, government …