Professor Kočenda published and article in International Review of Financial Analysis

The May issue of the prestigious journal International Review of Financial Analysis brings an article "Volatility Connectedness on the Central European Forex Markets" co-authored by our colleague, Professor Kočenda and Peter Albrecht from Mendel University in Brno. Congratulations on the publication!

The authors provide a comprehensive assessment of volatility connectedness between the currencies of Central European (CE) countries using high-frequency data from 2009 to 2022. They show that asymmetries in connectedness are dominated by negative volatility, especially during periods of economic distress. More importantly, the authors use a novel testing methodology and bring the first statistical evidence that increases in connectedness are linked with explicit systematic events. Further, they identify the impact of specific domestic and global shocks. For eight out of eight endogenously selected global events, there was an increase in connectedness within a maximum of one business month from the event's occurrence. The detailed results provide direct policy implications for portfolio composition and hedging. Finally, it is shown that connectedness is linked to uncertainty, liquidity, and economic activity, whose impacts differ substantially.

The full article is available here.  

Congratulations on the publication!