Volatility spillovers and dynamic correlations among foreign exchange rates and bond markets of emerging economies

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

Forecasting conditional correlations in stock, bond and foreign exchange markets

Unlike conditional volatility that has been investigated intensively, conditional correlations between financial assets have received only little attention in literature. Researchers have, for so long, focused mainly on estimating returns and risk, and have assumed that the correlations are constant and have therefore paid less attention on them. However, recent studies uncover that such correl...

Volatility in Foreign Exchange Rates

Four foreign exchange spot rate series, recorded on an hourly basis for a six-month period in 1986 are examined. A seasonal GARCH model is developed to describe the time-dependent volatility apparent in the percentage nominal return of each currency. Hourly patterns in volatility are found to be remarkably similar across currencies and appear to be related to the opening and closing of the worl...

Of Volatility Spillovers In European Government Bond Markets

In this paper we engineer an information mapping of transmission linkages across various European government bond markets. The research introduces a calibration methodology for the application of an optimizing radial basis function (RBF) artificial neural network (ANN). Utilizing a closed-form derivation of the regularization parameter, the Kajiji-4 RBF ANN is known to efficiently minimize the ...

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), ...