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Testing for intraday interdependence and volatility spillover among the euro, the pound and the Swiss franc markets

  • Kitamura, Yoshihiro

To examine intraday interdependence and volatility spillover among the euro, the pound and the Swiss franc, we employ the varying-correlation model of multivariate generalized autoregressive conditional heteroskedasticity. Our main findings are (1) return volatility in the euro spills into the pound and the Swiss franc; and (2) these markets are highly integrated with the euro, and the degree of interdependence is state-dependent: euro news has a simultaneous impact on the pound and the Swiss franc, and co-movements of these currencies and the euro become much higher in proportion to the arrival of news of the euro.

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File URL: http://www.sciencedirect.com/science/article/B7CPK-4XRJXB5-2/2/f293d774ac148810a079eb11f5cb1554
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Article provided by Elsevier in its journal Research in International Business and Finance.

Volume (Year): 24 (2010)
Issue (Month): 2 (June)
Pages: 158-171

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Handle: RePEc:eee:riibaf:v:24:y:2010:i:2:p:158-171
Contact details of provider: Web page: http://www.elsevier.com/locate/ribaf

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