Volatility Spillovers among Developed and Developing Countries: The Global 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...

The Effects of Foreign Trade, Energy Consumption and Human Capital on GDP in Several Candidate Developed Countries and Developing Countries

Abstract T his paper attempted to examine the effects of foreign trade, energy consumption, human capital and physical capital on GDP in 8 candidate developing countries and 8 candidate developed countries during 2002-2014.In this study, the effects of variables were estimated through panel cointegration technique and dynamic ordinary least squares (DOLS).The results of regression te...

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