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• W3001402019 abstract "This research aims to detect the volatility linkages among various currencies during operating and non-operating hours of three major stock markets (Tokyo, London and New York) by employing bivariate VAR-BEKK-GARCH model in selected currency pairs. In particular, the aim is to analyze whether the major stock markets have a differential impact on volatility linkages in currency markets. The results indicate that volatility linkages in intraday are far stronger then in daily results. One remarkable result is that rather than major currencies, some minor and exotic currencies play a leading role in volatility transmission during trading hours of major stock markets." @default.
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• W3001402019 date "2020-04-01" @default.
• W3001402019 modified "2023-10-01" @default.
• W3001402019 title "Impact of stock market trading on currency market volatility spillovers" @default.
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• W3001402019 doi "https://doi.org/10.1016/j.ribaf.2020.101182" @default.
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