We use the GARCH-MIDAS model to extract the long- and short-term volatility components of cryptocurrencies. As … potential drivers of Bitcoin volatility, we consider measures of volatility and risk in the US stock market as well as a measure … of global economic activity. We find that S&P 500 realized volatility has a negative and highly significant effect on …

argued that such a policy could result in the harmful consequence of exchange rate volatility. This study analyzes the link … between exchange rate devaluation, volatility, and export performance. The analysis focuses on the manufacturing sector and 10 … in the World Trade Organization, or even the export partners’ geographic structures, are also accounted for in the model …

Very recently, the link between exchange rate volatility and trade flows has entered into a new direction in which … rate volatility on trade flows, the nonlinear models revealed significant effects. In some other cases, the opposite was … researchers assess the possibility of asymmetric response of trade flows to a measure of exchange rate uncertainty. We add to this …

This paper examines and confirms the varying volatility of the relationship between cryptocurrency and currency markets … at different time periods, such as when the market encountered multiple risk events including the US-China trade war …, COVID-19, and the Russian-Ukraine war. We employ the Diagonal BEKK model and find that the co-volatility spillover effects …