This paper studies the dynamics of volatility transmission between Central European currencies and euro/dollar foreign … exchange using model-free estimates of daily exchange rate volatility based on intraday data. We formulate a flexible yet … parsimonious parametric model in which the daily realized volatility of a given exchange rate depends both on its own lags as well …

This paper studies the dynamics of volatility transmission between Central European currencies and euro/dollar foreign … exchange using model-free estimates of daily exchange rate volatility based on intraday data. We formulate a flexible yet … parsimonious parametric model in which the daily realized volatility of a given exchange rate depends both on its own lags as well …

of England (BoE) and the Bank of Japan (BoJ) on the intraday volatility transmissions among EUR, GBP and JPY. The … empirical results indicate: (i) an increased volatility transmission from EUR to JPY and GBP around the ECB announcements, and … from GBP to EUR over the BoE announcements, (ii) the ECB and BoE announcements significantly increase the volatility of EUR …

This paper studies the dynamics of volatility transmission between Central European (CE) currencies and the EUR …/USD foreign exchange using model-free estimates of daily exchange rate volatility based on intraday data. We formulate a flexible … yet parsimonious parametric model in which the daily realized volatility of a given exchange rate depends both on its own …

yield that periods of strong comovements of the US dollar and Pound sterling based upon the Euro prevail during the 1990s … and periods of comovements of Euro and Pound sterling denominated in US dollar prevail since the introduction of the Euro …

This paper examines co-movements and volatility spillovers in the returns of the euro, the British pound, the Swiss … post- (pre-) euro period. The nature of crossmarket volatility spillovers is found to be bidirectional though, with the … franc and the Japanese yen vis-à-vis the US dollar before and after the introduction of the euro. Based on dynamic …

Policymakers fear the potentially destabilizing impact of fickle global investors on emerging markets. Euro area … currency denomination and issuer-level risk factors. First, euro area investors exhibit a strong home currency bias that … manifests itself both as a cross-sectional preference and in the form of relatively stable flows to Euro-denominated bonds over …

We provide a comprehensive assessment of volatility connectedness between the currencies of Central European (CE … currencies before) and document domination of the negative volatility, especially during periods of economic distress. We further … robust with respect to a volatility measure and provide direct policy implications for portfolio composition and hedging. …