Cross-Time Analysis of Volatility Linkages in Global Currency Markets: an Extended Framework
| dc.contributor.author | Baklaci, Hasan Fehmi | |
| dc.contributor.author | Yelkenci, Tezer | |
| dc.date.accessioned | 2023-06-16T12:58:49Z | |
| dc.date.available | 2023-06-16T12:58:49Z | |
| dc.date.issued | 2022 | |
| dc.description.abstract | 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. | en_US |
| dc.identifier.doi | 10.1007/s40822-022-00209-5 | |
| dc.identifier.issn | 1309-422X | |
| dc.identifier.issn | 2147-429X | |
| dc.identifier.scopus | 2-s2.0-85127598934 | |
| dc.identifier.uri | https://doi.org/10.1007/s40822-022-00209-5 | |
| dc.identifier.uri | https://hdl.handle.net/20.500.14365/1025 | |
| dc.language.iso | en | en_US |
| dc.publisher | Springer Heidelberg | en_US |
| dc.relation.ispartof | Eurasıan Economıc Revıew | en_US |
| dc.rights | info:eu-repo/semantics/openAccess | en_US |
| dc.subject | Volatility spillover | en_US |
| dc.subject | Exchange rates | en_US |
| dc.subject | Multivariate GARCH | en_US |
| dc.subject | Intraday data | en_US |
| dc.subject | Exchange-Rate Volatility | en_US |
| dc.subject | Spillovers | en_US |
| dc.subject | Contagion | en_US |
| dc.subject | Communication | en_US |
| dc.subject | Transmission | en_US |
| dc.subject | Information | en_US |
| dc.subject | Return | en_US |
| dc.subject | Rates | en_US |
| dc.subject | News | en_US |
| dc.subject | Euro | en_US |
| dc.title | Cross-Time Analysis of Volatility Linkages in Global Currency Markets: an Extended Framework | en_US |
| dc.type | Article | en_US |
| dspace.entity.type | Publication | |
| gdc.author.scopusid | 22984460700 | |
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| gdc.bip.popularityclass | C4 | |
| gdc.coar.access | open access | |
| gdc.coar.type | text::journal::journal article | |
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| gdc.description.department | İEÜ, İşletme Fakültesi, Uluslararası Ticaret ve Finansman Bölümü | en_US |
| gdc.description.departmenttemp | [Baklaci, Hasan Fehmi; Yelkenci, Tezer] Izmir Univ Econ, Sakarya Caddesi 156, TR-35330 Izmir, Turkey | en_US |
| gdc.description.endpage | 314 | en_US |
| gdc.description.issue | 2 | en_US |
| gdc.description.publicationcategory | Makale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı | en_US |
| gdc.description.scopusquality | Q1 | |
| gdc.description.startpage | 267 | en_US |
| gdc.description.volume | 12 | en_US |
| gdc.description.wosquality | Q2 | |
| gdc.identifier.openalex | W4226082758 | |
| gdc.identifier.wos | WOS:000782215500001 | |
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| gdc.oaire.keywords | Original Paper | |
| gdc.oaire.popularity | 5.508923E-9 | |
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| gdc.oaire.sciencefields | 0502 economics and business | |
| gdc.oaire.sciencefields | 05 social sciences | |
| gdc.openalex.collaboration | National | |
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| gdc.opencitations.count | 3 | |
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| gdc.scopus.citedcount | 5 | |
| gdc.virtual.author | Baklacı, Hasan Fehmi | |
| gdc.wos.citedcount | 6 | |
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