Quotation Antonakakis, Nikolaos. 2012. Exchange return co-movements and volatility spillovers before and after the introduction of euro. Journal of International Financial Markets, Institutions and Money 22 (5): 1091-1109.


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Abstract

This paper examines return co-movements and volatility spillovers between major exchange rates before and after the introduction of euro. Dynamic correlations and VAR-based spillover index results suggest significant return co-movements and volatility spillovers, however, their extend is, on average, lower in the post-euro period. Co-movements and spillovers are positively associated with extreme episodes and US dollar appreciations. The euro (Deutsche mark) is the dominant net transmitter of volatility, while the British pound the dominant net receiver of volatility in both periods. Nevertheless, cross-market volatility spillovers are bidirectional, and the highest spillovers occur between European markets.

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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Journal article
Journal Journal of International Financial Markets, Institutions and Money
Citation Index SSCI
WU-Journal-Rating new VW-D, WH-B
Language English
Title Exchange return co-movements and volatility spillovers before and after the introduction of euro
Volume 22
Number 5
Year 2012
Page from 1091
Page to 1109
Reviewed? Y
URL http://www.sciencedirect.com/science?_ob=DownloadURL&_method=confirm&_eidkey=1-s2.0-S1042443112000534&count=1&_docType=FLA&_zone=toolbar&_acct=C000228598&_version=1&_userid=10&md5=066d2f6236c7918166f4d231af1a8ed4

Associations

People
Antonakakis, Nikolaos (Former researcher)
Organization
Research Institute for European Affairs FI (Details)
Research areas (Ă–STAT Classification 'Statistik Austria')
5300 Economics (Details)
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