Macroeconomic News Surprises and Volatility Spillover in the Foreign Exchange Markets

The Influence of Structural Changes in Volatility on Shock Transmission and Volatility Spillover among Iranian Gold and Foreign Exchange Markets

the influence of structural changes in volatility on shock transmission and volatility spillover among iranian gold and foreign exchange markets

Volatility Scaling in Foreign Exchange Markets

When distributions are non-Gaussian or display linear dependence it may not be appropriate to annualise the risk coefficient determined by the linear rescaling of the variance from other time intervals. This paper investigates the scaling relationships for daily spot foreign currency returns: the Deutsche markU.S. dollar (DMK/USD), the Swiss franc-USD (SWF/USD), the Japanese yen-USD (JPY/USD), ...

Do foreign exchange risk premiums relate to the volatility in the foreign exchange and equity markets?

Empirical tests are performed to examine whether foreign exchange excess returns for the British pound, Canadian dollar, Deutsche mark, and Japanese yen are related to volatility in the currency market and volatility in the stock markets. Our results indicate that volatility (measured by standard deviation and variance) from currency markets is signi® cant in explaining the excess returns, sugg...

Implications of news asymmetries in foreign exchange markets

We employ a multivariate BEKK GARCH model which allows news to affect conditional volatility in an asymmetric manner. The asymmetric model outperforms the standard symmetric model, implying that efficient financial decision makers should not treat good and bad news as homogenous. We estimate the conditional variance and covariance of the Japanese yen, Swiss franc and British pound vis-à-vis the...