| bibtype |
J -
Journal Article
|
| ARLID |
0478477 |
| utime |
20240103214544.1 |
| mtime |
20170925235959.9 |
| SCOPUS |
85030483421 |
| WOS |
000410677200003 |
| DOI |
10.1016/j.jimonfin.2017.06.003 |
| title
(primary) (eng) |
Asymmetric volatility connectedness on the forex market |
| specification |
| page_count |
18 s. |
| media_type |
P |
|
| serial |
| ARLID |
cav_un_epca*0251282 |
| ISSN |
0261-5606 |
| title
|
Journal of International Money and Finance |
| volume_id |
77 |
| volume |
1 (2017) |
| page_num |
39-56 |
| publisher |
|
|
| keyword |
volatility |
| keyword |
connectedness |
| keyword |
asymmetric effects |
| author
(primary) |
| ARLID |
cav_un_auth*0242028 |
| full_dept (cz) |
Ekonometrie |
| full_dept (eng) |
Department of Econometrics |
| department (cz) |
E |
| department (eng) |
E |
| full_dept |
Department of Econometrics |
| name1 |
Baruník |
| name2 |
Jozef |
| institution |
UTIA-B |
| country |
CZ |
| garant |
K |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| author
|
| ARLID |
cav_un_auth*0312139 |
| full_dept (cz) |
Ekonometrie |
| full_dept |
Department of Econometrics |
| department (cz) |
E |
| department |
E |
| full_dept |
Department of Econometrics |
| name1 |
Kočenda |
| name2 |
Evžen |
| institution |
UTIA-B |
| country |
CZ |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| author
|
| ARLID |
cav_un_auth*0101217 |
| full_dept (cz) |
Ekonometrie |
| full_dept |
Department of Econometrics |
| department (cz) |
E |
| department |
E |
| full_dept |
Department of Econometrics |
| name1 |
Vácha |
| name2 |
Lukáš |
| institution |
UTIA-B |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| source |
|
| cas_special |
| project |
| ARLID |
cav_un_auth*0350251 |
| project_id |
GA16-14179S |
| agency |
GA ČR |
| country |
CZ |
|
| abstract
(eng) |
We show how bad and good volatility propagate through the forex market, i.e., we provide evidence for asymmetric volatility connectedness on the forex market. Using high- frequency, intra-day data of the most actively traded currencies over 2007–2015 we doc- ument 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 the subprime crisis, dif- ferent monetary policies among key world central banks, and developments on commodi- ties markets. It seems that a combination of monetary and real-economy events is behind the positive asymmetries in volatility spillovers, while fiscal factors are linked with nega- tive spillovers. |
| RIV |
AH |
| FORD0 |
50000 |
| FORD1 |
50200 |
| FORD2 |
50206 |
| reportyear |
2018 |
| num_of_auth |
3 |
| mrcbC52 |
4 A hod 4ah 20231122142653.7 |
| inst_support |
RVO:67985556 |
| permalink |
http://hdl.handle.net/11104/0274598 |
| cooperation |
| ARLID |
cav_un_auth*0308308 |
| name |
Institute of Economic Studies, Faculty of Social Sciences, Charles University in Prague |
| institution |
IES FSV UK |
| country |
CZ |
|
| mrcbC64 |
1 Department of Econometrics UTIA-B 50202 ECONOMICS |
| confidential |
S |
| mrcbC86 |
1* Article Business Finance |
| mrcbC86 |
1* Article Business Finance |
| mrcbC86 |
1* Article Business Finance |
| mrcbT16-e |
BUSINESSFINANCE |
| mrcbT16-j |
0.906 |
| mrcbT16-s |
1.608 |
| mrcbT16-B |
65.805 |
| mrcbT16-D |
Q2 |
| mrcbT16-E |
Q1 |
| arlyear |
2017 |
| mrcbTft |
\nSoubory v repozitáři: barunik-0478477.pdf |
| mrcbU14 |
85030483421 SCOPUS |
| mrcbU24 |
PUBMED |
| mrcbU34 |
000410677200003 WOS |
| mrcbU63 |
cav_un_epca*0251282 Journal of International Money and Finance 0261-5606 1873-0639 Roč. 77 č. 1 2017 39 56 Elsevier |
|