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dc.contributor.authorBubák, Víten
dc.contributor.authorKocenda, Evézenen
dc.contributor.authorZikes, Filipen
dc.date.accessioned2010-06-04-
dc.date.accessioned2010-08-18T11:19:15Z-
dc.date.available2010-08-18T11:19:15Z-
dc.date.issued2010-
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
dc.language.isoengen
dc.publisher|aCenter for Economic Studies and ifo Institute (CESifo) |cMunichen
dc.relation.ispartofseries|aCESifo Working Paper |x3063en
dc.subject.jelC50en
dc.subject.jelF31en
dc.subject.jelG15en
dc.subject.ddc330en
dc.subject.keywordforeign exchange marketsen
dc.subject.keywordvolatilityen
dc.subject.keywordspilloversen
dc.subject.keywordintraday dataen
dc.subject.keywordnonlinear dynamicsen
dc.subject.stwWechselkursen
dc.subject.stwEuroen
dc.subject.stwUS-Dollaren
dc.subject.stwVolatilitäten
dc.subject.stwSpillover-Effekten
dc.subject.stwInternationaler Preiszusammenhangen
dc.subject.stwDevisenmarkten
dc.subject.stwAufstrebende Märkteen
dc.subject.stwOstmitteleuropaen
dc.titleVolatility transmission in emerging European foreign exchange markets-
dc.typeWorking Paperen
dc.identifier.ppn627393586en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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