Asymmetric volatility spillovers in deutsche mark exchange rates

Implied volatility linkages among major European currencies

“…The main novelty of this paper is the focus on linkages in expected exchange rate volatilities. Whereas the previous studies (see Najand et al, 1992;Alexander, 1995;Laopodis, 1998;Kearney and Patton, 2000;Speight and McMillan, 2001) use ex post volatility estimates to examine volatility linkages across exchange rates, this paper uses ex ante volatility estimates extracted from option prices. Provided that market participants are rational, option-implied volatility estimates should incorporate all the available information that is relevant for forming expectations about the future volatility.…”

“…They examined exchange rate volatility linkages across market segments and noted that volatility tends to spill over from one marketplace to another. 2 Volatility linkages across exchange rates have previously been examined in Najand et al (1992), Alexander (1995), Laopodis (1998), Kearney and Patton (2000), and Speight and McMillan (2001). A common feature of these papers is the use of autoregressive conditional heteroskedasticity (ARCH) modelling to assess volatility linkages across exchange rates.…”

Volatility linkages among interest rates: implications for global monetary policy

“…The discussion below follows Laopodis (1998) with a modification in the conditional mean specification. Let r i;t be the logarithmic change in the interest rate i at time t (i ¼ 1 to n), O tÀ1 be the information set at time t À 1, m i;t the conditional mean, s 2 i;t the conditional variance, e i;tÀ1 the innovation at time t (where e j;tÀ1 ¼ r i;t À m i;t ) and x i;tÀ1 the standardized residuals (i.e.…”

“…Recent evidence (e.g. Koutmos and Theodossiou, 1993;Laopodis, 1997Laopodis, , 1998Laopodis, , 1999 informs that such asymmetric behaviour is very likely, at least in the exchange rates.…”

European and international asymmetry in the volatility transmission mechanism: the “German Dominance Hypothesis” revisited

“…Second, these studies examined GDH without taking into account the dramatic changes in the EMS after Germany's unification in 1990. There is considerable evidence that the market fundamentals have changed in the 1990s in view of the anticipated monetary unification of the EMS members (e.g., Laopodis, 1998Laopodis, , 2001. For instance, one can site the process of convergence that many countries embarked in, based on the Maastricht Treaty criteria in 1994, and the introduction of the Euro in January 1999.…”