Autoregressive Conditionally Heteroskedastic (fGARCH) model were applied to study the volatility of the Autoregressive Fractionally …

methods indicate that volatility connectedness is higher than the return connectedness among these assets. Furthermore …

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 …