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Currency Futures Volatility during the 1997 East Asian Crisis: An Application of Fourier Analysis

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Author Info
Vanessa Mattiussi () (Department of Economics, City University, London)
Giulia Iori () (Department of Economics, City University, London)

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Abstract

We analyze a recently proposed method to estimate volatility and correlation when prices are observed at a high frequency rate. The method is based on Fourier analysis and does not require any data manipulation, leading to more robust estimates than the traditional methodologies proposed so far. In the first part of the paper, we evaluate the performance of the Fourier algorithm to reconstruct the time volatility of simulated univariate and bivariate models. In the second part, the Fourier method is used to investigate the volatility and correlation dynamics of futures markets over the Asian crisis period, with the purpose of detecting possible interdependencies and volatility transmissions across countries amid a period of financial turmoil.

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Publisher Info
Paper provided by Department of Economics, City University, London in its series City University Economics Discussion Papers with number 06/09.

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Length: 23 pages
Date of creation: Sep 2006
Date of revision:
Publication status: Forthcoming in Debt, Risk and Liquidity in Futures Markets, London and New York: Routledge, B.A. Goss (ed), 2007
Handle: RePEc:cty:dpaper:0609

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Related research
Keywords: high frequency data; Fourier analysis; Asian crisis; volatility spillover;

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