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dc.contributor.authorBubák, Víten_US
dc.contributor.authorKocenda, Evézenen_US
dc.contributor.authorZikes, Filipen_US
dc.date.accessioned2010-06-04en_US
dc.date.accessioned2010-08-18T11:19:15Z-
dc.date.available2010-08-18T11:19:15Z-
dc.date.issued2010en_US
dc.identifier.urihttp://hdl.handle.net/10419/38997-
dc.description.abstractThis 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.en_US
dc.language.isoengen_US
dc.publisherCESifo Münchenen_US
dc.relation.ispartofseriesCESifo working paper Monetary Policy and International Finance 3063en_US
dc.subject.jelC50en_US
dc.subject.jelF31en_US
dc.subject.jelG15en_US
dc.subject.ddc330en_US
dc.subject.keywordforeign exchange marketsen_US
dc.subject.keywordvolatilityen_US
dc.subject.keywordspilloversen_US
dc.subject.keywordintraday dataen_US
dc.subject.keywordnonlinear dynamicsen_US
dc.subject.stwWechselkursen_US
dc.subject.stwEuroen_US
dc.subject.stwUS-Dollaren_US
dc.subject.stwVolatilitäten_US
dc.subject.stwSpillover-Effekten_US
dc.subject.stwInternationaler Preiszusammenhangen_US
dc.subject.stwDevisenmarkten_US
dc.subject.stwAufstrebende Märkteen_US
dc.subject.stwOstmitteleuropaen_US
dc.titleVolatility transmission in emerging European foreign exchange marketsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn627393586en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
Appears in Collections:CESifo Working Papers, CESifo Group Munich

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