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 |
巻 | 24 |
号 | 2 |
DOI | |
出版ステータス | Published - 2010 6月 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