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

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 …

data ; long memory ; volatility persistence ; structural breaks …