Volatility transmission in emerging European foreign exchange markets

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F11%3A10098952" target="_blank" >RIV/00216208:11230/11:10098952 - isvavai.cz</a>

Alternative codes found

RIV/00216208:11640/11:00364268

Result on the web

<a href="http://dx.doi.org/10.1016/j.jbankfin.2011.03.012" target="_blank" >http://dx.doi.org/10.1016/j.jbankfin.2011.03.012</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1016/j.jbankfin.2011.03.012" target="_blank" >10.1016/j.jbankfin.2011.03.012</a>

Result language

angličtina

Original language name

Volatility transmission in emerging European foreign exchange markets

Original language description

This paper studies the dynamics of volatility transmission between Central European (CE) currencies and the EUR/USD 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 as on the lagged realized volatilities of the other exchange rates.

Czech name

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Czech description

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Type

J_x - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

CEP classification

AH - Economics

OECD FORD branch

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Project

Result was created during the realization of more than one project. More information in the Projects tab.

Continuities

Z - Vyzkumny zamer (s odkazem do CEZ)

Publication year

2011

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Journal of Banking and Finance

ISSN

0378-4266

e-ISSN

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Volume of the periodical

35

Issue of the periodical within the volume

1

Country of publishing house

NL - THE KINGDOM OF THE NETHERLANDS

Number of pages

13

Pages from-to

2829-2841

UT code for WoS article

000295432500005

EID of the result in the Scopus database

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