257
Views
8
CrossRef citations to date
0
Altmetric
Original Articles

Correlations and spillovers among three euro rates: evidence using realised variance

, &
Pages 753-767 | Published online: 25 Jan 2010

References

  • Aggarwal , R. and Kyaw , N. A. 2005 . Equity market integration in the NAFTA region: Evidence from unit root and cointegration tests . International Review of Financial Analysis , 14 : 393 – 406 .
  • Alexander , C. 1995 . Common volatility in the foreign exchange market . Applied Financial Economics , 5 : 1 – 10 .
  • Andersen , T. G. and Bollerslev , T. 1998 . Answering the skeptics: Yes, standard volatility models do provide accurate forecasts . International Economic Review , 39 : 885 – 905 .
  • Andersen , T. G. , Bollerslev , T. , Diebold , F. X. and Labys , P. 2000 . Exchange rate returns standardized by realized volatility are (nearly) Gaussian . Multinational Finance Journal , 4 : 159 – 79 .
  • Andersen , T. G. , Bollerslev , T. , Diebold , F. X. and Ebens , H. 2001a . The distribution of realised stock return volatility . Journal of Financial Economics , 61 : 43 – 76 .
  • Andersen , T. G. , Bollerslev , T. , Diebold , F. X. and Labys , P. 2001b . The distribution of realized exchange rate volatility . Journal of the American Statistical Association , 96 : 42 – 55 .
  • Andersen , T. G. , Bollerslev , T. , Diebold , F. X. and Labys , P. 2003 . Modelling and forecasting realised volatility . Econometrica , 71 : 579 – 625 .
  • Babetskaia-Kukharchuk , O. , Babetskii , I. and Podpiera , J. 2008 . Convergence in exchange rates: Market's view on CE-4 joining EMU . Applied Economics Letters , 15 : 385 – 90 .
  • Baillie , R. T. and Bollerslev , T. 1991 . Intra-day and inter-market volatility in foreign exchange rates . Review of Economic Studies , 58 : 565 – 85 .
  • Baillie , R. T. , Bollerslev , T. and Redfearn , M. R. 1993 . Bear squeezes, volatility spillovers and speculative attacks in the hyperinflation 1920s foreign exchange . Journal of International Money and Finance , 12 : 511 – 21 .
  • Barndorff-Nielsen , O. E. and Shephard , N. 2004 . Econometric analysis of realised covariation: High frequency covariance, regression and correlation in financial economics . Econometrica , 72 : 885 – 925 .
  • Berben , R. P. and Jansen , W. J. 2005 . Comovement in international equity markets: A sectoral view . Journal of International Money and Finance , 24 : 832 – 57 .
  • Black , A. and McMillan , D. G. 2004 . Long-run trends and volatility spillovers in daily exchange rates . Applied Financial Economics , 14 : 895 – 907 .
  • Bollerslev , T. 1990 . Modeling the coherence in short-run nominal exchange rates: A multivariate generalized ARCH model . Review of Economics and Statistics , 72 : 498 – 505 .
  • Bollerslev , T. , Engle , R. F. and Wooldridge , J. 1988 . A capital asset pricing model with time-varying covariances . Journal of Political Economy , 96 : 116 – 31 .
  • Byers , J. D. and Peel , D. A. 1995 . Bilinear quadratic ARCH and volatility spillovers in inter-war exchange rates . Applied Economics Letters , 2 : 215 – 9 .
  • Cheung , Y.-W. and Ng , L. K. 1996 . A causality-in-variance test and its application to financial market prices . Journal of Econometrics , 72 : 33 – 48 .
  • Chow , G. C. and Lawler , C. C. 2003 . A time series analysis of the Shanghai and New York stock prices indices . Annals of Economics and Finance , 4 ( May ) : 17 – 35 .
  • Corhay , A. , Rad , A. T. and Urbain , J. P. 1993 . Common stochastic trends in European stock markets . Economics Letters , 42 : 385 – 90 .
  • Diebold , F. and Killian , L. 2001 . Measuring predictability: Theory and macroeconomic applications . Journal of Applied Econometrics , 16 : 657 – 69 .
  • Engle , R. F. 2002 . Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity model . Journal of Business and Economic Statistics , 20 : 339 – 50 .
  • Engle , R. F. and Colacito , R. 2006 . Testing and valuing dynamic correlations for asset allocation . Journal of Business and Economic Statistics , 24 : 238 – 53 .
  • Engle , R. and Kozicki , S. 1993 . Testing for common features . Journal of Business and Economic Statistics , 4 : 369 – 95 .
  • Engle , R. F. and Kroner , K. 1995 . Multivariate simultaneous generalised ARCH . Econometric Theory , 11 : 122 – 50 .
  • Engle , R. F. , Ito , T. and Lin , W. L. 1990 . Meteor showers of heat waves? Heteroskedastic intra-daily volatility in the foreign exchange market . Econometrica , 58 : 525 – 42 .
  • Erb , C. , Harvey , C. and Viskanta , T. 1994 . Forecasting international equity correlations . Financial Analysts Journal , 50 : 32 – 45 .
  • Forbes , K. and Rigobon , R. 2002 . No contagion, only interdependence: Measuring stock market co-movements . Journal of Finance , 57 : 2223 – 61 .
  • Fraser , P. and Oyefeso , O. 2005 . US, UK and European stock market integration . Journal of Business Finance and Accounting , 32 : 161 – 81 .
  • Goetzmann , W. N. , Li , L. and Rouwenhorst , K. G. 2005 . Long-term global market correlations . Journal of Business , 78 ( 1 ) : 1 – 38 .
  • Granger , C. W.J. and Newbold , P. 1986 . Forecasting Economic Time Series , San Diego : Academic Press .
  • Harvey , A. , Ruiz , E. and Shephard , N. 1994 . Multivariate stochastic variance models . Review of Economic Studies , 61 : 247 – 64 .
  • Karolyi , G. A. and Stulz , R. M. 1996 . Why do markets move together? An investigation of US–Japan stock return co-movements . Journal of Finance , 51 : 951 – 86 .
  • Kasa , K. 1992 . Common stochastic trends in international stock markets . Journal of Monetary Economics , 29 : 95 – 124 .
  • Kearney , C. and Patton , A. J. 2000 . Multivariate GARCH modelling of exchange rate volatility transmission in the European monetary system . Financial Review , 41 : 29 – 48 .
  • Kim , S. J. , Moshirian , F. and Wu , E. 2005 . Dynamics stock market integration driven by the European Monetary Union: An empirical analysis . Journal of Banking and Finance , 29 : 2475 – 502 .
  • King , M. and Wadhwani , S. 1990 . Transmission of volatility between stock markets . Review of Financial Studies , 3 : 5 – 33 .
  • King , M. , Sentana , E. and Wadhwani , S. 1994 . Volatility and links between national stock markets . Econometrica , 62 : 901 – 33 .
  • Klaassen , F. 1999 . Have exchange rates become more closely tied? Evidence from a new multivariate GARCH model. Centre Discussion Paper 9910 .
  • Longin , F. and Solnik , B. 1995 . Is the correlation in international equity returns constant: 1960–1990? . Journal of International Money and Finance , 14 : 3 – 26 .
  • McMillan , D. G. , Speight , A. E.H. and Evans , K. 2008 . How useful is intraday data for evaluating daily value-at-risk? Evidence from three euro rates . Journal of Multinational Financial Management , 18 : 488 – 503 .
  • Melvin , M. and Peiers , B. 2003 . The global transmission of volatility in the foreign exchange market . Review of Economics and Statistics , 85 : 670 – 9 .
  • Miyakoshi , T. 2003 . Spillovers of stock return volatility to Asian equity markets from Japan and the US . Journal of International Financial Markets, Institutions and Money , 13 : 383 – 99 .
  • Ng , A. 2000 . Volatility spillover effects from Japan and the US to the Pacific-basin . Journal of International Money and Finance , 19 : 207 – 33 .
  • Ramasamy , B. and Yeung , M. 2005 . The causality between stock returns and exchange rates: Revisited . Australian Economic Papers , 44 : 162 – 9 .
  • Rangvid , J. 2001 . Increasing convergence among European stock markets? A recursive common stochastic trends analysis . Economics Letters , 71 : 383 – 9 .
  • Roll , R. 1989 . Price volatility, international market links, and their implications for regulatory policies . Journal of Financial Services Research , 3 : 211 – 46 .
  • Ruiz , I. 2009 . Common volatility across Latin American foreign exchange markets . Applied Financial Economics , 19 ( 15 ) : 1197 – 211 .
  • Speight , A. E.H. and McMillan , D. G. 2001 . Volatility spillovers in East European black-market exchange rates . Journal of International Money and Finance , 20 : 367 – 78 .
  • Taylor , M. P. and Tonks , I. 1989 . The Internationalisation of stock markets and the abolition of UK exchange control . Review of Economics and Statistics , 71 : 332 – 6 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.