Article ID Journal Published Year Pages File Type
5086291 Japan and the World Economy 2012 12 Pages PDF
Abstract
► Effect of the level of return on foreign exchange return volatility spill-over is investigated. ► Depreciation of the US dollar against the yen affects volatility spill-over more. ► No asymmetric volatility spill-over effect is found for the currency pair euro-US dollar.
Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Preview
Effect of exchange rate return on volatility spill-over across trading regions
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