Testing for intraday interdependence and volatility spillover among the euro, the pound and the Swiss franc markets
Testing for intraday interdependence and volatility spillover among the euro, the pound and the Swiss franc markets
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DOI：
10.1016/j.ribaf.2009.11.002
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发表时间：
2010-06-01
影响因子：
6.5
通讯作者：
Kitamura, Yoshihiro
中科院分区：
文献类型：
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作者：
Kitamura, Yoshihiro
为了检验欧元、磅和瑞士法郎之间的日内相互依赖性和波动溢出，我们采用了多元广义自回归条件异方差的变相关模型。我们的主要发现是：（1）欧元的收益波动溢出到磅和瑞士法郎;（2）这些市场与欧元高度融合，相互依存的程度取决于国家：欧元的消息对磅和瑞士法郎同时产生影响，这些货币和欧元的共同波动随着欧元消息的到来而变得更高。(C)2009 Elsevier B. V.保留所有权利。
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. (C) 2009 Elsevier B.V. All rights reserved.