Volatility transmission in emerging European foreign exchange markets

摘要: Abstract This paper studies the dynamics of volatility transmission between Central European (CE) currencies and EUR/USD foreign exchange using model-free estimates daily rate based on intraday data. We formulate a flexible yet parsimonious parametric model in which realized given depends both its own lags as well lagged volatilities other rates. find evidence statistically significant intra-regional spillovers among CE markets. With exception Czech and, prior to recent turbulent economic events, Polish currencies, we no running from To measure overall magnitude evolution over time, construct dynamic version Diebold–Yilmaz spillover index show that tend increase periods characterized by market uncertainty.