Dynamic and frequency-domain risk spillovers among oil, gold, and foreign exchange markets: Evidence from implied volatility

Energy Economics ◽

10.1016/j.eneco.2021.105514 ◽

2021 ◽

pp. 105514

Author(s):

Qian Ding ◽

Jianbai Huang ◽

Jinyu Chen

Keyword(s):

Frequency Domain ◽

Foreign Exchange ◽

Implied Volatility ◽

Foreign Exchange Markets ◽

Exchange Markets

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Forecasting Implied Volatility in Foreign Exchange Markets: A Robust Functional Linear Model Approach

SSRN Electronic Journal ◽

10.2139/ssrn.2587787 ◽

2015 ◽

Author(s):

Fearghal Kearney ◽

Mark Cummins ◽

Finbarr Murphy

Keyword(s):

Linear Model ◽

Foreign Exchange ◽

Implied Volatility ◽

Foreign Exchange Markets ◽

Functional Linear Model ◽

Exchange Markets ◽

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Forecasting implied volatility in foreign exchange markets: a functional time series approach

European Journal of Finance ◽

10.1080/1351847x.2016.1271441 ◽

2017 ◽

Vol 24 (1) ◽

pp. 1-18 ◽

Author(s):

Fearghal Kearney ◽

Mark Cummins ◽

Finbarr Murphy

Keyword(s):

Time Series ◽

Foreign Exchange ◽

Implied Volatility ◽

Foreign Exchange Markets ◽

Functional Time Series ◽

Time Series Approach ◽

Exchange Markets

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Asymmetric volatility spillover between European equity and foreign exchange markets: Evidence from the frequency domain

International Review of Economics & Finance ◽

10.1016/j.iref.2020.03.001 ◽

2020 ◽

Vol 68 ◽

pp. 1-14 ◽

Author(s):

Evan Warshaw

Keyword(s):

Frequency Domain ◽

Foreign Exchange ◽

Foreign Exchange Markets ◽

Volatility Spillover ◽

Asymmetric Volatility ◽

Exchange Markets ◽

European Equity

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Implied volatility dynamics in the foreign exchange markets

Journal of International Money and Finance ◽

10.1016/s0261-5606(03)00018-4 ◽

2003 ◽

Vol 22 (4) ◽

pp. 511-528 ◽

Author(s):

Minho Kim ◽

Minchoul Kim

Keyword(s):

Foreign Exchange ◽

Implied Volatility ◽

Foreign Exchange Markets ◽

Exchange Markets

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A Study on the Efficiency of the Foreign Exchange Markets: Evidence from Korea, Japan and China

The Institute of Management and Economy Research ◽

10.32599/apjb.11.1.202003.61 ◽

2020 ◽

Vol 11 (1) ◽

pp. 61-75

Author(s):

Il-Hyun Yoon ◽

Yong-Min Kim

Keyword(s):

Foreign Exchange ◽

Foreign Exchange Markets ◽

Exchange Markets ◽

Japan And China

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Volatility Transmission: A Global Tri-Variate Analysis of Public Real Estate and Foreign Exchange Markets

10.15396/eres2015_69 ◽

2015 ◽

Author(s):

Simon Stevenson

Keyword(s):

Real Estate ◽

Foreign Exchange ◽

Foreign Exchange Markets ◽

Volatility Transmission ◽

Variate Analysis ◽

Exchange Markets

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Government Intervention and Adverse Selection Costs in Foreign Exchange Markets

10.2469/dig.v30.n4.757 ◽

2000 ◽

Vol 30 (4) ◽

pp. 16-18

Author(s):

Rajiv Kalra

Keyword(s):

Adverse Selection ◽

Foreign Exchange ◽

Government Intervention ◽

Foreign Exchange Markets ◽

Adverse Selection Costs ◽

Exchange Markets

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The Simultaneous Effect of Macroeconomic Surprises on Stock and Foreign Exchange Markets: Using U.S. And U.K. Data

SSRN Electronic Journal ◽

10.2139/ssrn.1100700 ◽

2008 ◽

Author(s):

Andrew Mun

Keyword(s):

Foreign Exchange ◽

Foreign Exchange Markets ◽

Simultaneous Effect ◽

Exchange Markets

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The Use of Foreign Exchange Markets by Non-Banks

SSRN Electronic Journal ◽

10.2139/ssrn.1865197 ◽

2011 ◽

Author(s):

James O'Connor ◽

James Wackett ◽

Robert Zammit

Keyword(s):

Foreign Exchange ◽

Foreign Exchange Markets ◽

Exchange Markets

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Election Cycles in Emerging Markets: Effects on Equity and Foreign Exchange Markets

SSRN Electronic Journal ◽

10.2139/ssrn.1948775 ◽

2011 ◽

Author(s):

Juan Mier

Keyword(s):

Emerging Markets ◽

Foreign Exchange ◽

Foreign Exchange Markets ◽

Exchange Markets ◽

Election Cycles

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