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Volatility Clustering and Volatility Transmission: A Non-Parametric View of ERM Exchange Rates

Author

Listed:
  • Artis, Michael J
  • Zhang, Wenda

Abstract

This paper considers the evidence for volatility clustering and transmission in six bilateral Deutsche mark ERM exchange rates. Data on daily exchange rate changes are described by a mixture of two normal distributions. One of these contains observations of volatile exchange rate changes while the other pertains to tranquil periods. Using the information given by the two distributions, each observation is classified to one or other category. The phenomenon of volatility clustering in a given bilateral exchange rate series is then studied by means of a non-parametric test, while volatility transmission across exchange rates is studied by means of non-parametric tests for independence.

Suggested Citation

  • Artis, Michael J & Zhang, Wenda, 1997. "Volatility Clustering and Volatility Transmission: A Non-Parametric View of ERM Exchange Rates," CEPR Discussion Papers 1594, C.E.P.R. Discussion Papers.
    • Handle: RePEc:cpr:ceprdp:1594
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    Cited by:

    1. Menounga, François Patrick & Manga Akoa, Armand, 2023. "Synchronisation cyclique globale entre les économies subsahariennes et les économies avancées [Cyclical Synchronization Between Sub-Saharan Economies and Advanced Economies]," MPRA Paper 117483, University Library of Munich, Germany.

    More about this item

    Keywords

    ERM; Exchange Rates; Volatility Clustering; Volatility Transmission;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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