Baklaci, Hasan FehmiYelkenci, Tezer2023-06-162023-06-1620221309-422X2147-429Xhttps://doi.org/10.1007/s40822-022-00209-5https://hdl.handle.net/20.500.14365/1025This 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.eninfo:eu-repo/semantics/openAccessVolatility spilloverExchange ratesMultivariate GARCHIntraday dataExchange-Rate VolatilitySpilloversContagionCommunicationTransmissionInformationReturnRatesNewsEuroArticle10.1007/s40822-022-00209-52-s2.0-85127598934