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Information transmission and spillover in currency markets: A generalized variance decomposition analysis

  • Elyasiani, Elyas
  • Kocagil, Ahmet E.
  • Mansur, Iqbal
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    File URL: http://www.sciencedirect.com/science/article/B6W5X-4KKNNGV-1/2/0c41d926eb490d281a4a4a1eb4821542
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    Article provided by Elsevier in its journal The Quarterly Review of Economics and Finance.

    Volume (Year): 47 (2007)
    Issue (Month): 2 (May)
    Pages: 312-330

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    Handle: RePEc:eee:quaeco:v:47:y:2007:i:2:p:312-330
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620167

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    7. MacDonald, Ronald & Taylor, Mark P., 1989. "Foreign exchange market efficiency and cointegration : Some evidence from the recent float," Economics Letters, Elsevier, vol. 29(1), pages 63-68.
    8. Theodossiou, Panayiotis & Lee, Unro, 1993. "Mean and Volatility Spillovers across Major National Stock Markets: Further Empirical Evidence," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 16(4), pages 337-50, Winter.
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    11. Diebold, Francis X & Gardeazabal, Javier & Yilmaz, Kamil, 1994. " On Cointegration and Exchange Rate Dynamics," Journal of Finance, American Finance Association, vol. 49(2), pages 727-35, June.
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    17. Dekker, Arie & Sen, Kunal & Young, Martin R., 2001. "Equity market linkages in the Asia Pacific region: A comparison of the orthogonalised and generalised VAR approaches," Global Finance Journal, Elsevier, vol. 12(1), pages 1-33.
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    20. Ben S. Bernanke, 1986. "Alternative Explanations of the Money-Income Correlation," NBER Working Papers 1842, National Bureau of Economic Research, Inc.
    21. Lajaunie, John P & McManis, Bruce L & Naka, Atsuyuki, 1996. "Further Evidence on Foreign Exchange Market Efficiency: An Application of Cointegration Tests," The Financial Review, Eastern Finance Association, vol. 31(3), pages 553-64, August.
    22. Baillie, Richard T. & Bollerslev, Tim, 1990. "A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets," Journal of International Money and Finance, Elsevier, vol. 9(3), pages 309-324, September.
    23. Fleming, Jeff & Kirby, Chris & Ostdiek, Barbara, 1998. "Information and volatility linkages in the stock, bond, and money markets," Journal of Financial Economics, Elsevier, vol. 49(1), pages 111-137, July.
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    26. Kroner, Kenneth F. & Sultan, Jahangir, 1993. "Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 28(04), pages 535-551, December.
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