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Volatility connectedness in global foreign exchange markets

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Cited by:

  1. Shi, Huai-Long & Zhou, Wei-Xing, 2022. "Factor volatility spillover and its implications on factor premia," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
  2. Gök, Remzi & Bouri, Elie & Gemici, Eray, 2023. "Volatility spillovers between sovereign CDS and futures markets in various volatility states: Evidence from an emerging economy around the pandemic," Research in International Business and Finance, Elsevier, vol. 66(C).
  3. Timo Bettendorf & Reinhold Heinlein, 2023. "Connectedness between G10 currencies: Searching for the causal structure," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(4), pages 3938-3959, October.
  4. Wang, Gang-Jin & Wan, Li & Feng, Yusen & Xie, Chi & Uddin, Gazi Salah & Zhu, You, 2023. "Interconnected multilayer networks: Quantifying connectedness among global stock and foreign exchange markets," International Review of Financial Analysis, Elsevier, vol. 86(C).
  5. Wang, Mengjiao & Liu, Jianxu & Yang, Bing, 2024. "Does the strength of the US dollar affect the interdependence among currency exchange rates of RCEP and CPTPP countries?," Finance Research Letters, Elsevier, vol. 62(PA).
  6. Xu, Yingying & Lien, Donald, 2022. "COVID-19 and currency dependences: Empirical evidence from BRICS," Finance Research Letters, Elsevier, vol. 45(C).
  7. Andrej Privara & Raheel Gohar & Haitham M. Alzoubi & Akash Kalra & Mohammed Ahmar Uddin & Bisharat Hussain Chang, 2025. "Exploring exchange rate sensitivity to crude oil futures: A study of selected global economies," International Economics and Economic Policy, Springer, vol. 22(1), pages 1-21, February.
  8. Raza, Syed Ali & Guesmi, Khaled & Benkraiem, Ramzi & Anwar, Rija, 2024. "Precious metals and currency markets during the Russia-Ukraine conflict’s inflationary periods," Research in International Business and Finance, Elsevier, vol. 67(PA).
  9. Foglia, Matteo & Di Tommaso, Caterina & Wang, Gang-Jin & Pacelli, Vincenzo, 2024. "Interconnectedness between stock and credit markets: The role of European G-SIBs in a multilayer perspective," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 91(C).
  10. Reboredo, Juan Carlos & Ugolini, Andrea & Hernandez, Jose Arreola, 2021. "Dynamic spillovers and network structure among commodity, currency, and stock markets," Resources Policy, Elsevier, vol. 74(C).
  11. Akbulut Nesrin & Ari Yakup, 2023. "TVP-VAR Frequency Connectedness Between the Foreign Exchange Rates of Non-Euro Area Member Countries," Folia Oeconomica Stetinensia, Sciendo, vol. 23(2), pages 1-23, December.
  12. Thai Hung, Ngo & Nguyen, Linh Thi My & Vinh Vo, Xuan, 2022. "Exchange rate volatility connectedness during Covid-19 outbreak: DECO-GARCH and Transfer Entropy approaches," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 81(C).
  13. Bhatia, Shipra & Tuteja, Divya, 2024. "Contagion and linkages across international currencies," International Review of Financial Analysis, Elsevier, vol. 94(C).
  14. Wang, Gang-Jin & Xiong, Lu & Zhu, You & Xie, Chi & Foglia, Matteo, 2022. "Multilayer network analysis of investor sentiment and stock returns," Research in International Business and Finance, Elsevier, vol. 62(C).
  15. Anwer, Zaheer & Naeem, Muhammad Abubakr & Hassan, M. Kabir & Karim, Sitara, 2022. "Asymmetric connectedness across Asia-Pacific currencies: Evidence from time-frequency domain analysis," Finance Research Letters, Elsevier, vol. 47(PB).
  16. Abakah, Emmanuel Joel Aikins & Brahim, Mariem & Carlotti, Jean-Etienne & Tiwari, Aviral Kumar & Mensi, Walid, 2024. "Extreme downside risk connectedness and portfolio hedging among the G10 currencies," International Economics, Elsevier, vol. 178(C).
  17. Fasanya, Ismail O. & Adekoya, Oluwasegun B. & Adetokunbo, Abiodun M., 2021. "On the connection between oil and global foreign exchange markets: The role of economic policy uncertainty," Resources Policy, Elsevier, vol. 72(C).
  18. Wan, Yang & He, Shi, 2021. "Dynamic connectedness of currencies in G7 countries: A Bayesian time-varying approach," Finance Research Letters, Elsevier, vol. 41(C).
  19. Boakye, Robert Owusu & Mensah, Lord Kwaku & Kang, Sang Hoon & Osei, Kofi Acheampong, 2023. "Foreign exchange market return spillovers and connectedness among African countries," International Review of Financial Analysis, Elsevier, vol. 86(C).
  20. Zhang, Hongwei & Wang, Peijin, 2021. "Does Bitcoin or gold react to financial stress alike? Evidence from the U.S. and China," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 629-648.
  21. Lu, Man & Chang, Bisharat Hussain & Salman, Asma & Razzaq, Muthanna G. Abdul & Uddin, Mohammed Ahmar, 2023. "Time varying connectedness between foreign exchange markets and crude oil futures prices," Resources Policy, Elsevier, vol. 86(PB).
  22. Li, Yanshuang & Zhuang, Xintian & Wang, Jian & Dong, Zibing, 2021. "Analysis of the impact of COVID-19 pandemic on G20 stock markets," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
  23. Al-Shboul, Mohammad & Assaf, Ata & Mokni, Khaled, 2023. "Does economic policy uncertainty drive the dynamic spillover among traditional currencies and cryptocurrencies? The role of the COVID-19 pandemic," Research in International Business and Finance, Elsevier, vol. 64(C).
  24. Chen, Huayi & Shi, Huai-Long & Zhou, Wei-Xing, 2024. "Carbon volatility connectedness and the role of external uncertainties: Evidence from China," Journal of Commodity Markets, Elsevier, vol. 33(C).
  25. Huynh, Toan Luu Duc & Nasir, Muhammad Ali & Nguyen, Duc Khuong, 2023. "Spillovers and connectedness in foreign exchange markets: The role of trade policy uncertainty," The Quarterly Review of Economics and Finance, Elsevier, vol. 87(C), pages 191-199.
  26. Ohikhuare, Obaika M., 2023. "How geopolitical risk drives spillover interconnectedness between crude oil and exchange rate markets: Evidence from the Russia-Ukraine war," Resources Policy, Elsevier, vol. 86(PB).
  27. Ehsan Bagheri & Seyed Babak Ebrahimi & Arman Mohammadi & Mahsa Miri & Stelios Bekiros, 2022. "The Dynamic Volatility Connectedness Structure of Energy Futures and Global Financial Markets: Evidence From a Novel Time–Frequency Domain Approach," Computational Economics, Springer;Society for Computational Economics, vol. 59(3), pages 1087-1111, March.
  28. Spyros Papathanasiou & Dimitris Kenourgios & Drosos Koutsokostas & Georgios Pergeris, 2023. "Can treasury inflation-protected securities safeguard investors from outward risk spillovers? A portfolio hedging strategy through the prism of COVID-19," Journal of Asset Management, Palgrave Macmillan, vol. 24(3), pages 198-211, May.
  29. Shiying Chen & Bisharat Hussain Chang & Hu Fu & ShiQi Xie, 2024. "Dynamic analysis of the relationship between exchange rates and oil prices: a comparison between oil exporting and oil importing countries," Palgrave Communications, Palgrave Macmillan, vol. 11(1), pages 1-12, December.
  30. Shahzad, Syed Jawad Hussain & Hasan, Mudassar & Caporin, Massimiliano, 2023. "Asymmetric and time-frequency based networks of currency markets," Finance Research Letters, Elsevier, vol. 55(PB).
  31. Atenga, Eric Martial Etoundi & Mougoué, Mbodja, 2021. "Return and volatility spillovers to African currencies markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 73(C).
  32. Usha Rekha Chinthapalli, 2021. "A Comparative Analysis on Probability of Volatility Clusters on Cryptocurrencies, and FOREX Currencies," JRFM, MDPI, vol. 14(7), pages 1-23, July.
  33. Wu, Tao & Sun, Xiaotong & Xu, Xin & Jia, Nanfei & Xuan, Siyuan, 2024. "New evidence of interdependence in forex markets: A connection of connection analysis," International Review of Financial Analysis, Elsevier, vol. 95(PA).
  34. Xin Yang & Shan Chen & Hong Liu & Xiaoguang Yang & Chuangxia Huang, 2023. "Jump volatility spillover network based measurement of systemic importance of Chinese financial institutions," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(2), pages 1201-1213, April.
  35. Zuzana Rowland & George Lazaroiu & Ivana Podhorská, 2020. "Use of Neural Networks to Accommodate Seasonal Fluctuations When Equalizing Time Series for the CZK/RMB Exchange Rate," Risks, MDPI, vol. 9(1), pages 1-21, December.
  36. Mo, Wan-Shin & Yang, J. Jimmy & Chen, Yu-Lun, 2023. "Exchange rate spillover, carry trades, and the COVID-19 pandemic," Economic Modelling, Elsevier, vol. 121(C).
  37. Bouri, Elie & Lucey, Brian & Saeed, Tareq & Vo, Xuan Vinh, 2020. "Extreme spillovers across Asian-Pacific currencies: A quantile-based analysis," International Review of Financial Analysis, Elsevier, vol. 72(C).
  38. Anwer, Zaheer & Khan, Ashraf & Kabir Hassan, M. & Rashid, Mamunur, 2022. "Does the regional proximity lead to exchange rate spillover?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 81(C).
  39. Oktay Ozkan & Salah Abosedra & Arshian Sharif & Andrew Adewale Alola, 2024. "Dynamic volatility among fossil energy, clean energy and major assets: evidence from the novel DCC-GARCH," Economic Change and Restructuring, Springer, vol. 57(3), pages 1-19, June.
  40. Mensi, Walid & Nekhili, Ramzi & Vo, Xuan Vinh & Suleman, Tahir & Kang, Sang Hoon, 2021. "Asymmetric volatility connectedness among U.S. stock sectors," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
  41. Asit Kumar Das & Debahuti Mishra & Kaberi Das & Arup Kumar Mohanty & Mazin Abed Mohammed & Alaa S. Al-Waisy & Seifedine Kadry & Jungeun Kim, 2022. "A Deep Network-Based Trade and Trend Analysis System to Observe Entry and Exit Points in the Forex Market," Mathematics, MDPI, vol. 10(19), pages 1-23, October.
  42. Xu, Yingying & Lien, Donald, 2020. "Dynamic exchange rate dependences: The effect of the U.S.-China trade war," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 68(C).
  43. Mensi, Walid & Hernandez, Jose Arroeola & Yoon, Seong-Min & Vo, Xuan Vinh & Kang, Sang Hoon, 2021. "Spillovers and connectedness between major precious metals and major currency markets: The role of frequency factor," International Review of Financial Analysis, Elsevier, vol. 74(C).
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