Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5085150 | International Review of Financial Analysis | 2011 | 6 Pages |
Abstract
We investigate return and volatility spillovers across the currency futures markets utilizing recently developed frequency domain tests. Our analysis permits to differentiate between permanent and transitory linkages between the markets by examining high and low frequency dynamics. We identify significant informational dependencies between the euro, yen, Swiss franc and pound futures markets, which should be important for market participants and policy makers.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Cetin Ciner,