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Volatility dependence across Asia-Pacific on-shore and off-shore U.S. dollar futures markets

  • Roberta Colavecchio

    ()

  • Michael Funke

    ()

This paper estimates switching autoregressive conditional heteroscedasticity (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 U.S. dollar future rates upon other Asian countries have been modest, in that little evidence exists for co-dependence of volatility regimes.

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File URL: http://www.uni-hamburg.de/fachbereiche-einrichtungen/fb03/iwwt/makro/PaperColavVolatility.pdf
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Paper provided by Hamburg University, Department of Economics in its series Quantitative Macroeconomics Working Papers with number 20708.

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Date of creation: Aug 2007
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Handle: RePEc:ham:qmwops:20708
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