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- W2020816264 abstract "This paper examines volatility spillover between two nominal U.S. dollar exchange rates: the British pound and the euro. Using the residual cross-correlation approach, we observe that the euro Granger-causes the British pound in variance, whereas the British pound does not Granger-cause the euro in variance. Our findings support unidirectional volatility spillover from the euro to the British pound; thus, the euro volatility has a one-sided impact on the British pound volatility. Moreover, the findings suggest that euro traders succeed in the efficient processing of information derived from the British pound." @default.
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- W2020816264 title "Testing for volatility spillover between the British pound and the euro" @default.
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- W2020816264 doi "https://doi.org/10.1016/j.ribaf.2006.03.006" @default.
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