Testing for intraday interdependence and volatility spillover among the euro, the pound and the Swiss franc markets

Yoshihiro Kitamura*

*この研究の対応する著者

研究成果: Article査読

36 被引用数 (Scopus)

抄録

To examine intraday interdependence and volatility spillover among the euro, the pound and the Swiss franc, we employ the varying-correlation model of multivariate generalized autoregressive conditional heteroskedasticity. Our main findings are (1) return volatility in the euro spills into the pound and the Swiss franc; and (2) these markets are highly integrated with the euro, and the degree of interdependence is state-dependent: euro news has a simultaneous impact on the pound and the Swiss franc, and co-movements of these currencies and the euro become much higher in proportion to the arrival of news of the euro.

本文言語English
ページ(範囲)158-171
ページ数14
ジャーナルResearch in International Business and Finance
24
2
DOI
出版ステータスPublished - 2010 6 1
外部発表はい

ASJC Scopus subject areas

  • ビジネス、管理および会計(その他)
  • 財務

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