Narrow search
Showing 1 - 10 of 4,821
Cover Image
Volatility transmission and volatility impulse response functions in the main and the satellite Renminbi exchange rate markets
Funke, Michael; Loermann, Julius; Tsang, Andrew - 2020
We analyse volatility spillovers between the on- and offshore (CNY and CNH) Renminbi exchange rates towards the US … dollar (USD). The volatility impulse response (VIRF) methodology introduced by Hafner and Herwatz (2006) is applied to … in an efficient manner, allowing to analyse the significance and persistence of volatility shocks and associated …
Persistent link: https://www.econbiz.de/10012294928
Cover Image
Return and volatility spillovers across equity markets in mainland China, Hong Kong and the United States
Mohammadi, Hassan; Tan, Yuting - In: Econometrics : open access journal 3 (2015) 2, pp. 215-232
Examinations of the dynamics of daily returns and volatility in stock markets of the US, Hong Kong and mainland China …
Persistent link: https://www.econbiz.de/10011296721
Cover Image
Do China and oil exporters influence major currency configurations?
Fratzscher, Marcel; Mehl, Arnaud - 2008
This paper analyses the impact of the shift away from a US dollar focus of systemically important emerging market economies (EMEs) on configurations between the US dollar, the euro and the yen. Given the difficulty that fixed or managed US dollar exchange rate regimes remain pervasive and...
Persistent link: https://www.econbiz.de/10003825947
Cover Image
Do China and Oil Exporters Influence Major Currency Configurations?
Fratzscher, Marcel - 2015
This paper analyses the impact of the shift away from a US dollar focus of systemically important emerging market economies (EMEs) on configurations between the US dollar, the euro and the yen. Given the difficulty that fixed or managed US dollar exchange rate regimes remain pervasive and...
Persistent link: https://www.econbiz.de/10012749953
Cover Image
Macro Announcements and Volatilities of the Renminbi Onshore and Offshore Exchange Rates
Lin, Zhitao - 2020
average magnitudes. Decomposing the volatility into long-term trend and short-term cyclical components, we discover a closer … connection of macro news effect with the long-run component of the volatility. Moreover, we focus on the isolated effects of … RMB volatility determination …
Persistent link: https://www.econbiz.de/10012838163
Cover Image
Volatility Dependence Across Asia-Pacific Onshore and Offshore Currency Forwards Markets
Colavecchio, Roberta - 2009
returns of nine Asian forward exchange rates. We find two regimes with different volatility levels, whereby each regime … markets upon other Asian countries have been modest, in that little evidence exists for co-dependence of volatility regimes …
Persistent link: https://www.econbiz.de/10012718563
Cover Image
An Analysis on the Structural Breaks in Dynamic Conditional Correlations Among Equity Markets Based on the ICSS Algorithm : The Case from 2015-2016 Chinese Stock Market Turmoil
Zhai, Pengxiang - 2018
By employing multivariate GARCH models to stock returns and AR-GARCH models with change points identified by ICSS algorithm to predicted dynamics conditional correlations, this paper seeks to analyze information shocks on daily return dynamics in three Chinese segmented stock markets, namely...
Persistent link: https://www.econbiz.de/10012934136
Cover Image
Volatility Transmissions between Renminbi and Asia-Pacific On-Shore and Off-Shore U.S. Dollar Futures
Colavecchio, Roberta; Funke, Michael - 2007
This paper uses multivariate GARCH techniques to study volatility spillovers between the Chinese non …-variability of conditional correlation, a dynamic correlation structure is included in the volatility model specification. The … integration, in particular, that exerts the largest influence on volatility transmission …
Persistent link: https://www.econbiz.de/10014225310
Cover Image
Return and volatility spillover across equity markets between China and Southeast Asian countries
Ngo Thai Hung - In: Journal of economics, finance & administrative science 24 (2019) 47, pp. 66-81
Purpose - Actions of incumbent politicians and firms' managers during election years have been cited as sources of many problems that afflict economies and business entities. Given the controversies surrounding the impact of elections on firms' soundness, this paper poses a question of whether...
Persistent link: https://www.econbiz.de/10012025398
Cover Image
A conditional variance model for daily stock returns in China's emerging stock markets : empirical evidence on the Shanghai and Shenzhen exchanges
Yu, Qiao - In: Journal of international financial markets, … 6 (1996) 4, pp. 1-19
Persistent link: https://www.econbiz.de/10001498289