-a-vis four other currencies. The impact of exogenous variables in modelling volatility is considered using both the GARCH (1 …,1) and its asymmetric variants. Three of the four returns series showed heteroscedasticity. The results of the fitted models … indicate that the majority of the parameters are significant and that volatility is quite persistent. Furthermore, the results …

We investigate the impact of the European Central Bank's monetary policy announcements on the level and volatility of …

This paper examines co-movements and volatility spillovers in the returns of the euro, the British pound, the Swiss … post- (pre-) euro period. The nature of crossmarket volatility spillovers is found to be bidirectional though, with the … franc and the Japanese yen vis-à-vis the US dollar before and after the introduction of the euro. Based on dynamic …