Cross-time-frequency analysis of volatility linkages in global currency markets: an extended framework

This research aims to detect cross-border volatility linkages among various currencies within the foreign exchange market with respect to different sampling frequencies. Eleven currency pairs are included in the sample, which covers a period from 2009 to 2020. Volatility linkages among these selecte...

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Detalles Bibliográficos
Autores principales: Baklaci, Hasan Fehmi, Yelkenci, Tezer
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer International Publishing 2022
Materias:
Original Paper
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8978787/
http://dx.doi.org/10.1007/s40822-022-00209-5
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author Baklaci, Hasan Fehmi
Yelkenci, Tezer
author_facet Baklaci, Hasan Fehmi
Yelkenci, Tezer
author_sort Baklaci, Hasan Fehmi
collection PubMed
description This research aims to detect cross-border volatility linkages among various currencies within the foreign exchange market with respect to different sampling frequencies. Eleven currency pairs are included in the sample, which covers a period from 2009 to 2020. Volatility linkages among these selected exchange rates were tested by utilizing a multivariate VAR-BEKK-GARCH model. Results indicate that volatility linkages among currencies sampled are far stronger in higher frequency terms. Strikingly, the results denote that the major currencies do not play a strong leading role in volatility transmission. This finding is more apparent when daily and intraday results are compared.
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spelling pubmed-89787872022-04-05 Cross-time-frequency analysis of volatility linkages in global currency markets: an extended framework Baklaci, Hasan Fehmi Yelkenci, Tezer Eurasian Econ Rev Original Paper This research aims to detect cross-border volatility linkages among various currencies within the foreign exchange market with respect to different sampling frequencies. Eleven currency pairs are included in the sample, which covers a period from 2009 to 2020. Volatility linkages among these selected exchange rates were tested by utilizing a multivariate VAR-BEKK-GARCH model. Results indicate that volatility linkages among currencies sampled are far stronger in higher frequency terms. Strikingly, the results denote that the major currencies do not play a strong leading role in volatility transmission. This finding is more apparent when daily and intraday results are compared. Springer International Publishing 2022-04-04 2022 /pmc/articles/PMC8978787/ http://dx.doi.org/10.1007/s40822-022-00209-5 Text en © The Author(s) under exclusive licence to Eurasia Business and Economics Society 2022 This article is made available via the PMC Open Access Subset for unrestricted research re-use and secondary analysis in any form or by any means with acknowledgement of the original source. These permissions are granted for the duration of the World Health Organization (WHO) declaration of COVID-19 as a global pandemic.
spellingShingle Original Paper
Baklaci, Hasan Fehmi
Yelkenci, Tezer
Cross-time-frequency analysis of volatility linkages in global currency markets: an extended framework
title Cross-time-frequency analysis of volatility linkages in global currency markets: an extended framework
title_full Cross-time-frequency analysis of volatility linkages in global currency markets: an extended framework
title_fullStr Cross-time-frequency analysis of volatility linkages in global currency markets: an extended framework
title_full_unstemmed Cross-time-frequency analysis of volatility linkages in global currency markets: an extended framework
title_short Cross-time-frequency analysis of volatility linkages in global currency markets: an extended framework
title_sort cross-time-frequency analysis of volatility linkages in global currency markets: an extended framework
topic Original Paper
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8978787/
http://dx.doi.org/10.1007/s40822-022-00209-5
work_keys_str_mv AT baklacihasanfehmi crosstimefrequencyanalysisofvolatilitylinkagesinglobalcurrencymarketsanextendedframework
AT yelkencitezer crosstimefrequencyanalysisofvolatilitylinkagesinglobalcurrencymarketsanextendedframework

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