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Exchange rates and macro news in emerging markets
Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - 2016
This paper uses a VAR-GARCH(1,1) model to analyse mean and volatility spillovers between macro news (in the form of …
Persistent link: https://www.econbiz.de/10011441480
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Macro news and exchange rates in the BRICS
Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - 2016
03/1/2000- 12/5/2013. The estimated VAR-GARCH(1,1) model allows for both mean and volatility spillovers and for the …
Persistent link: https://www.econbiz.de/10011421883
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Macro news and exchange rates in the BRICS
Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - 2016
03/1/2000-12/5/2013. The estimated VAR-GARCH(1,1) model allows for both mean and volatility spillovers and for the …
Persistent link: https://www.econbiz.de/10011422554
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Exchange rates and macro news in emerging markets
Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - In: Research in international business and finance 46 (2018), pp. 516-527
Persistent link: https://www.econbiz.de/10011983723
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Exchange rates and macro news in emerging markets
Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - 2016
Persistent link: https://www.econbiz.de/10011448305
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The euro introduction and non-euro currencies
Dijk, Dick van; Munandar, Haris; Hafner, Christian M. - 2006
This paper documents the existence of large structural breaks in the unconditional correlations among the British pound, Norwegian krone, Swedish krona, Swiss franc, and euro exchange rates (against the US dollar) during the period 1994-2003. Using the framework of dynamic conditional...
Persistent link: https://www.econbiz.de/10011343243
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Exchange Rates and Macro News in Emerging Markets
Caporale, Guglielmo Maria - 2016
This paper uses a VAR-GARCH(1,1) model to analyse mean and volatility spillovers between macro news (in the form of …
Persistent link: https://www.econbiz.de/10012994354
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Exchange Rates and Macro News in Emerging Markets
Caporale, Guglielmo Maria - 2016
This paper uses a VAR-GARCH(1,1) model to analyse mean and volatility spillovers between macro news (in the form of …
Persistent link: https://www.econbiz.de/10012996742
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What Types of Macroeconomic Announcements Affect Stock Markets in Emerging Eastern Europe?
Saleem, Kashif - 2014
affect local market volatility and, in rare instances, stock returns themselves. Negative news has a leverage effect for … emerging Eastern European stock markets, as greater volatility in the stock market is generated by negative news than by …
Persistent link: https://www.econbiz.de/10013045383
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Macroeconomic News Surprises and Volatility Spillover in the Foreign Exchange Markets
Ben Omrane, Walid - 2018
This paper addresses the central open issue in exchange rate economics: the link between exchange rate volatility and … economic fundamentals. In the framework of a multivariate volatility model that allows for volatility spillover, we develop a … foreign exchange volatility. We show that news announcement effects include two components; a direct and an indirect effect …
Persistent link: https://www.econbiz.de/10012940282