Please use this identifier to cite or link to this item: https://hdl.handle.net/20.500.14365/1025
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dc.contributor.authorBaklaci, Hasan Fehmi-
dc.contributor.authorYelkenci, Tezer-
dc.date.accessioned2023-06-16T12:58:49Z-
dc.date.available2023-06-16T12:58:49Z-
dc.date.issued2022-
dc.identifier.issn1309-422X-
dc.identifier.issn2147-429X-
dc.identifier.urihttps://doi.org/10.1007/s40822-022-00209-5-
dc.identifier.urihttps://hdl.handle.net/20.500.14365/1025-
dc.description.abstractThis 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.language.isoenen_US
dc.publisherSpringer Heidelbergen_US
dc.relation.ispartofEurasıan Economıc Revıewen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectVolatility spilloveren_US
dc.subjectExchange ratesen_US
dc.subjectMultivariate GARCHen_US
dc.subjectIntraday dataen_US
dc.subjectExchange-Rate Volatilityen_US
dc.subjectSpilloversen_US
dc.subjectContagionen_US
dc.subjectCommunicationen_US
dc.subjectTransmissionen_US
dc.subjectInformationen_US
dc.subjectReturnen_US
dc.subjectRatesen_US
dc.subjectNewsen_US
dc.subjectEuroen_US
dc.titleCross-time-frequency analysis of volatility linkages in global currency markets: an extended frameworken_US
dc.typeArticleen_US
dc.identifier.doi10.1007/s40822-022-00209-5-
dc.identifier.scopus2-s2.0-85127598934en_US
dc.departmentİzmir Ekonomi Üniversitesien_US
dc.authorscopusid22984460700-
dc.authorscopusid56455368000-
dc.identifier.volume12en_US
dc.identifier.issue2en_US
dc.identifier.startpage267en_US
dc.identifier.endpage314en_US
dc.identifier.wosWOS:000782215500001en_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.identifier.scopusqualityQ1-
item.grantfulltextopen-
item.openairetypeArticle-
item.openairecristypehttp://purl.org/coar/resource_type/c_18cf-
item.fulltextWith Fulltext-
item.languageiso639-1en-
item.cerifentitytypePublications-
crisitem.author.dept03.04. International Trade and Finance-
Appears in Collections:Scopus İndeksli Yayınlar Koleksiyonu / Scopus Indexed Publications Collection
WoS İndeksli Yayınlar Koleksiyonu / WoS Indexed Publications Collection
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