The Global Transmission of Volatility in the Foreign Exchange Market

  title={The Global Transmission of Volatility in the Foreign Exchange Market},
  author={Michael T. Melvin and Bettina Peiers},
Volatility spillovers of the DM/$ and ¥/$ exchange rate across regional markets are examined using the integrated volatility of highfrequency data. An analysis of quoting patterns reveals Ž ve distinct regions: Asia, Asia-Europe overlap, Europe, Europe-America overlap, and America. After reviewing theoretical foundations for persistence of volatility in dealership markets, regional volatility models are constructed where volatility in one region is a function of yesterday’s volatility in that… CONTINUE READING
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