Volatility transmission in emerging European foreign exchange markets

Journal of Banking and Finance

Volumn 35, Issue 11, 2011, Pages 2829-2841

  Bubák, Vít ^a,b   Kočenda, Evžen ^c,d,e,f,g,h   Žikeš, Filip ⁱ  

^a Fitch Solutions   (United Kingdom)

^b CHARLES UNIVERSITY   (Czech Republic)

^c INSTITUTE OF MATHEMATICS   (Czech Republic)

^d Anglo American College   (Czech Republic)

^e WDI   (United States)

^f CEPR   (United Kingdom)

^g CESIFO   (Germany)

^h OEI   (Germany)

ⁱ IMPERIAL COLLEGE LONDON   (United Kingdom)

Author keywords

European emerging markets; Foreign exchange markets; Intraday data; Nonlinear dynamics; Spillovers; Volatility

Indexed keywords

EID: 80052143709     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2011.03.012     Document Type: Article

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