Currency Futures Volatility during the 1997 East Asian Crisis: An Application of Fourier Analysis

Vanessa Mattiussi () and Giulia Iori ()
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Vanessa Mattiussi: Department of Economics, City University, London, http://www.city.ac.uk/economics/

No 06/09, City University Economics Discussion Papers from Department of Economics, City University, London

Abstract: We analyze a recently proposed method to estimate volatility and correlation when prices are observed at a high frequency rate. The method is based on Fourier analysis and does not require any data manipulation, leading to more robust estimates than the traditional methodologies proposed so far. In the first part of the paper, we evaluate the performance of the Fourier algorithm to reconstruct the time volatility of simulated univariate and bivariate models. In the second part, the Fourier method is used to investigate the volatility and correlation dynamics of futures markets over the Asian crisis period, with the purpose of detecting possible interdependencies and volatility transmissions across countries amid a period of financial turmoil.

Keywords: high frequency data; Fourier analysis; Asian crisis; volatility spillover (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ifn, nep-mst and nep-sea
Date: 2006-09
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Forthcoming in Debt, Risk and Liquidity in Futures Markets, London and New York: Routledge, B.A. Goss (ed), 2007

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