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 …

research. The volatility is generally perceived as negatively affecting international trade. While theoretical predictions and … 2014, this paper uncovers no significant effects of exchange rate volatility on imports. In the case of exports, however …, the study finds a negative effect of volatility in the short-run, consistent with the above view, but a positive impact in …

significant degree of leptokurtosis, thus prevalence of tail-risks, in the conditional volatility series of such variables in the …

dynamics of oil price volatility by examining interactions between oil market and exchange rate in selected MENA countries …) to examine the presence of volatility spillover between oil prices and exchange rates return series. The econometric … rates, and ii) there is significant evidence of volatility spillovers from oil markets to exchange rate markets in the …

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 …

, volatility, and trading volume interrelate. To uncover this, we provide a simple theoretical framework to jointly explore these …, volatility, and illiquidity, (ii) stronger commonalities pertain to more efficient (arbitrage-free) currencies, and (iii) the … risk analysis. For policy makers, our work highlights the developments of FX global volume, volatility, and illiquidity …