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Volatility interdependence on foreign exchange markets: The contribution of cross-rates

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  • Kinkyo, Takuji

Abstract

•The volatility interdependence of 21 bilateral exchange rates among 7 major currencies is examined.•We focus on the volatility interdependence between the USD (EUR) rate and its cross-rate.•The spillover index is estimated to identify the direction and magnitude of volatility spillovers.•Wavelet analysis is used to identify localized correlations of volatilities in time-frequency space.•We find significant contributions of cross-rates to the volatility interdependence in FX markets.

Suggested Citation

  • Kinkyo, Takuji, 2020. "Volatility interdependence on foreign exchange markets: The contribution of cross-rates," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    • Handle: RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301807
    DOI: 10.1016/j.najef.2020.101289
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