Volatility in financial markets is a highly explored area of research for the last few decades. Possible reasons for … macroeconomic variables as determinants of financial markets (stock market and exchange rate) volatility. It also aims to analyse … the contribution of the volatility of one financial market to the volatility of another financial market before and after …

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 …