Volatility interdependence on foreign exchange markets: The contribution of cross-rates

Takuji Kinkyo

The North American Journal of Economics and Finance, 2020, vol. 54, issue C

Abstract: •The volatility interdependence of 21 bilateral exchange rates among 7 major currencies is examined.•We focus on the volatility interdependence between the USD (EUR) rate and its cross-rate.•The spillover index is estimated to identify the direction and magnitude of volatility spillovers.•Wavelet analysis is used to identify localized correlations of volatilities in time-frequency space.•We find significant contributions of cross-rates to the volatility interdependence in FX markets.

Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301807

DOI: 10.1016/j.najef.2020.101289

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