The aim of this paper is to look for evidence of financial contagion suffered by several countries as a result of the latest Argentine crisis. I focus my attention on a set of countries: Brazil, Mexico, Russia, Turkey, Uruguay, and Venezuela. I also focus exclusively on three financial markets:...

This paper examines co-movements and volatility spillovers in the returns of the euro, the British pound, the Swiss franc and the Japanese yen vis-a-vis the US dollar before and after the introduction of the euro. Based on dynamic correlations, variance decompositions, generalized VAR analysis,...

This paper identifies the best models for forecasting the volatility of daily exchange returns of developing countries. An emerging consensus in the recent literature focusing on industrialised counties has noted the superior performance of the FIGARCH model in the case of industrialised...

This paper establishes the link of microstructure and macroeconomic factors with the time-varying conditional correlation of foreign exchange and excess equity returns. By using the proposed DCC model with exogenous variables, capital flows and interest rate differentials are shown to be...

We study the impact of positive and negative macroeconomic US and European news announcements in different phases of the business cycle on the highfrequency volatility of the EUR/USD exchange rate. The results suggest that in general bad news increases volatility more than good news. The news...

This paper examines the short term dynamic integration among oil price shocks and interest rates for the U.S.A, Euro area and twelve Asian economies from August 1999 to January 2018 using a Time-Varying Parameter Vector Autoregression (TVP-VAR) with stochastic volatility. First, we found...

This paper establishes the link of microstructure and macroeconomic factors to the time-varying conditional correlation of foreign exchange and excess equity returns. By using the proposed DCC model with exogenous variables, capital flows and interest rate differentials are shown to be...

In this study, we propose refined measures of dynamic connectedness based on a TVP-VAR approach, that overcomes certain shortcomings of the connectedness measures introduced originally by Diebold and Yilmaz (2009, 2012, 2014). We illustrate the advantages of the TVP-VAR-based connectedness...

This paper estimates the exchange market pressure (EMP) in four Central European countries (Czech Republic, Hungary, Poland, Slovakia) over the period 1993-2006. Therefore, it is one of very few studies focused on this region and the very first paper applying concurrently model-dependent as well...