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Volatility dynamics in three euro exchange rates : correlations, spillovers and commonality

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Correlations and spillovers among three euro rates : evidence using realised variance

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Volatility Dynamics in Three Euro Exchange Rates : Correlations, Spillovers and Commonality

McMillan, David G. - 2009

In this paper we use three euro exchange rates to test for the presence of volatility spillovers, common volatility components and time-varying correlations using the multivariate-GARCH model and the common volatility methodology approach proposed by Engle and Kozicki (1993). Our results suggest...

Persistent link: https://www.econbiz.de/10013155913