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Volatility Dependence across Asia-Pacific Onshore and Offshore Currency Forwards Markets

  • Roberta Colavecchio

    (Hamburg University)

  • Michael Funke

    (Hamburg University)

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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Paper provided by Hong Kong Institute for Monetary Research in its series Working Papers with number 112009.

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Length: 38 pages
Date of creation: Feb 2009
Date of revision:
Handle: RePEc:hkm:wpaper:112009
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