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Information transmission across currency futures markets: Evidence from frequency domain tests

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  • Ciner, Cetin
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    Abstract

    We investigate return and volatility spillovers across the currency futures markets utilizing recently developed frequency domain tests. Our analysis permits to differentiate between permanent and transitory linkages between the markets by examining high and low frequency dynamics. We identify significant informational dependencies between the euro, yen, Swiss franc and pound futures markets, which should be important for market participants and policy makers.

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    File URL: http://www.sciencedirect.com/science/article/pii/S1057521911000184
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    Bibliographic Info

    Article provided by Elsevier in its journal International Review of Financial Analysis.

    Volume (Year): 20 (2011)
    Issue (Month): 3 (June)
    Pages: 134-139

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    Handle: RePEc:eee:finana:v:20:y:2011:i:3:p:134-139

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    Web page: http://www.elsevier.com/locate/inca/620166

    Related research

    Keywords: Currency futures Volatility spillover Frequency domain;

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