that divergence in monetary policy regimes affects forex volatility spillovers but that adding oil to a forex portfolio … shocks dominate forex volatility connectedness, positive shocks prevail when oil and forex markets are assessed jointly …

framework is suitable to analyse both mean and volatility spillovers, and also allows for possible parameter shifts resulting … food crisis and 2008 financial crisis leading to the most significant shifts in the (volatility) spillovers between the …

for the currencies of the BRICS (Brazil, Russia, India, China and South Africa). The data are daily and cover the period … 03/1/2000-12/5/2013. The estimated VAR-GARCH(1,1) model allows for both mean and volatility spillovers and for the …

This paper uses a VAR-GARCH(1,1) model to analyse mean and volatility spillovers between macro news (in the form of …

all countries except India; a negative and significant one on the financial sector of Brazil, Russia, India, and South … Africa; no effect on the transportation sector of Brazil, China, and South Africa, a negative one on those of India and …

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 …

contagion spillover volatility by focusing on a sample of major oil-exporting and oil-importing countries using daily data from …; during COVID-19; and during the Russian‒Ukrainian war. Our results confirm the persistence of volatility for the series … volatility transmission between oil prices and exchange-rate markets. However, the COVID-19 pandemic and the Russian …

This paper examines mean and volatility spillovers between four green municipal bonds issued by the US states of …