Volatility Spillovers among Developed and Developing Countries: The Global Foreign Exchange Markets

Volatility Spillovers among Developed and Developing Countries: The Global Foreign Exchange Markets

In this paper, we investigate the “static and dynamic” return and volatility spillovers’ transmission across developed and developing countries. Quoted against the US dollar, we study twenty-three global currencies over the time period 2005–2016. Focusing on the spillover index methodology, the gene...

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Bibliographic Details
Main Author: Walid Abass Mohammed
Format: Article
Language:English
Published: MDPI AG 2021-06-01
Series:Journal of Risk and Financial Management
Subjects:
foreign exchange market
volatility spillover
return spillover
VAR framework
variance decomposition
financial crisis
Online Access:https://www.mdpi.com/1911-8074/14/6/270

Internet

https://www.mdpi.com/1911-8074/14/6/270

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