examines how well exchange rate volatility explains movements in stock market returns. The model-based predictions are …

characterized by dramatic currency volatility. Burdens on the NYSE and home market to restore price parity for cross-listed stocks …

Two volatility forecasting evaluation measures are considered; the squared one-day ahead forecast error and its … standardized version. The mean squared forecast error is the widely accepted evaluation function for the realized volatility … standardized with its volatility. The statistical properties of the forecast errors point the standardized version as a more …

volatility recorded on currency options markets in Poland, Hungary and South Africa. The models are based on the observed … correlation between daily changes of spot rates and daily changes of volatility levels quoted by interbank brokers.In order to … define both short term and long term influence of spot rate on market volatility, ECM models were calibrated. Models show …

volatility (RV) of ten global stock market indices in the period from January 2000 to December 2021. We train models using a …

rate volatility in the short run. Second, I estimate event study regressions with intraday data, which allowed to confirm …

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 …

We analyze time-varying exchange rate co-movements and volatility spillovers between the Czech koruna, the Polish zloty … volatilities are due to each currency's own history. However, during the distress periods volatility spillovers among currencies …