@techreport{Bubak2010Volatility,
abstract = {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 as on the lagged realized volatilities of the other exchange rates. We find evidence of statistically significant intra-regional volatility spillovers among the Central European foreign exchange markets. With the exception of the Czech currency, we find no significant spillovers running from euro/dollar to the Central European foreign exchange markets. To measure the overall magnitude and evolution of volatility transmission over time, we construct a dynamic version of the Diebold-Yilmaz volatility spillover index, and show that volatility spillovers tend to increase in periods characterized by market uncertainty.},
address = {M\"{u}nchen},
author = {V\'{\i}t Bub\'{a}k and Ev\'{e}zen Kocenda and Filip Zikes},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {C50; F31; G15; 330; foreign exchange markets; volatility; spillovers; intraday data; nonlinear dynamics; Wechselkurs; Euro; US-Dollar; Volatilit\"{a}t; Spillover-Effekt; Internationaler Preiszusammenhang; Devisenmarkt; Aufstrebende M\"{a}rkte; Ostmitteleuropa},
language = {eng},
number = {3063},
publisher = {CESifo},
title = {Volatility transmission in emerging European foreign exchange markets},
type = {CESifo working paper Monetary Policy and International Finance},
url = {http://hdl.handle.net/10419/38997},
year = {2010}
}
