کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1002969 | 937515 | 2010 | 14 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Testing for intraday interdependence and volatility spillover among the euro, the pound and the Swiss franc markets
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
مدیریت، کسب و کار و حسابداری
کسب و کار و مدیریت بین المللی
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
To examine intraday interdependence and volatility spillover among the euro, the pound and the Swiss franc, we employ the varying-correlation model of multivariate generalized autoregressive conditional heteroskedasticity. Our main findings are (1) return volatility in the euro spills into the pound and the Swiss franc; and (2) these markets are highly integrated with the euro, and the degree of interdependence is state-dependent: euro news has a simultaneous impact on the pound and the Swiss franc, and co-movements of these currencies and the euro become much higher in proportion to the arrival of news of the euro.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Research in International Business and Finance - Volume 24, Issue 2, June 2010, Pages 158–171
Journal: Research in International Business and Finance - Volume 24, Issue 2, June 2010, Pages 158–171
نویسندگان
Yoshihiro Kitamura,