particularly interested in volatility modelling and forecasting given their importance for FOREX dealers. Compared with previous … ; volatility …

This paper examines co-movements and volatility spillovers in the returns of the euro, the British pound, the Swiss … significant co-movements and volatility spillovers across the four exchange returns, but their extend is, on average, lower in the … latter period. Return co-movements and volatility spillovers show large variability though, and are positively associated …