Article of J. Baruník, E. Kočenda and L. Vácha published at the Journal of International Money and Finance
The paper “Asymmetric volatility connectedness on the forex market” of our colleagues J. Baruník, E. Kočenda and L. Vácha was published in a high quality scholarly Journal of International Money and Finance.
The authors show how bad and good volatility propagate through the forex market, i.e., the evidence is provided for asymmetric volatility connectedness on the forex market. Using highfrequency, intra-day data of the most actively traded currencies over 2007–2015 the authors document the dominating asymmetries in spillovers that are due to bad, rather than good, volatility. The authors 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, different monetary policies among key world central banks, and developments on commodities 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 negative spillovers.
For the full article follow this link.
Autor - Mgr. Lucie Křížová M.A.