Volatility Transmission in Emerging European Foreign Exchange Markets

Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers

“…Speight (2010);Yilmaz (2010);Bubák et al (2011);Fujiwara and Takahashi (2012);Kumar (2013).4 In addition, negative jumps also contribute to future volatility more than their positive counterparts(Patton and Sheppard, 2011).…”

Asymmetric Volatility Connectedness on Forex Markets

“…Greenwood-Nimmo et al (2016) generalize the connectedness framework and analyze risk-return spillovers among the G10 currencies between 1999 and 2014 and find that spillover intensity is countercyclical and volatility spillovers across currencies increase during crisis times. Similarly, Bubák et al (2011) document statistically significant intra-regional volatility spillovers among the European emerging foreign exchange markets and show that volatility spillovers tend to increase in periods characterized by market uncertainty, especially during the 2007 -2008 financial crisis. Further, McMillan and Speight (2010) document the existence of volatility spillovers among the exchange rates of the U.S. dollar, British pound, and Japanese yen with respect to the euro and show dominating effects coming from the U.S. dollar.…”

Dimension Reduction for High Dimensional Vector Autoregressive Models

“…In view of Equation ( 14), it is easy to see that the GLS estimator (15) is the QML estimator of parameters α, conditionally on A, in Model (11). The relation, in terms of efficiency, between the estimators ( 13) and ( 15) is provided in the following theorem.…”

“…Next, we compute two statistics in order to evaluate how the model fits to the data. First, we consider the coefficients of determination of each element of Y t as obtained by model (11). Second, we apply the orthogonalized decomposition (5) and then we compute the squared correlation coefficients between each element of Y t and its counterpart in the common parts Ax t .…”