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Volatility dependence across Asia-Pacific onshore and offshore currency forwards markets

  • Colavecchio, Roberta
  • Funke, Michael

This paper estimates switching autoregressive conditional heteroskedasticity (SWARCH) time series models for weekly returns of nine Asian forward exchange rates. We find two regimes with different volatility levels, whereby each regime displays considerable persistence. Our analysis provides evidence that the knock-on effects from China's currency forwards markets upon other Asian countries have been modest, in that little evidence exists for co-dependence of volatility regimes.

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Article provided by Elsevier in its journal Journal of Asian Economics.

Volume (Year): 20 (2009)
Issue (Month): 2 (March)
Pages: 174-196

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Handle: RePEc:eee:asieco:v:20:y:2009:i:2:p:174-196
Contact details of provider: Web page: http://www.elsevier.com/locate/asieco

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