This paper proposes a convenient approach to measure the time-varying volatility connectedness indexes by developing the connectedness measures within a multivariate Heterogeneous Autoregressive model with measurement errors (VHAR-Q). We utilize this framework to examine the dynamic volatility...

This paper examines asymmetry in exchange rate dependence between domestic and foreign currencies vis-à-vis some world currencies for small inflation targeters, and find mixed evidence. Positive-type asymmetry (i.e., greater dependence during joint appreciations than joint depreciations) is...