Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1002969 | Research in International Business and Finance | 2010 | 14 Pages |
Abstract
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.
Related Topics
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Authors
Yoshihiro Kitamura,