Corpus ID: 197810013

Asymmetric volatility connectedness on forex markets

@inproceedings{Barunk2016AsymmetricVC,
  title={Asymmetric volatility connectedness on forex markets},
  author={Jozef Barun{\'i}k and Evzen Kocenda and Luk{\'a}s V{\'a}cha},
  year={2016}
}
  • Jozef Baruník, Evzen Kocenda, Lukás Vácha
  • Published 2016
  • Economics
  • We show how bad and good volatility propagate through forex markets, i.e., we provide evidence for asymmetric volatility connectedness on forex markets. Using high-frequency, intra-day data of the most actively traded currencies over 2007 - 2015 we document the dominating asymmetries in spillovers that are due to bad rather than good volatility. We also show that negative spillovers are chiefly tied to the dragging sovereign debt crisis in Europe while positive spillovers are correlated with… CONTINUE READING

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