Foreign Exchange Market Volatility in Southeast Asia |
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| Authors: | Peijie Wang Ping Wang |
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| Institution: | (1) School of Management, UMIST, PO Box 88, Manchester, M60 1QD, U.K.;(2) School of Economics, Middlesex University, London, NW4 4BT, U.K. |
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| Abstract: | The time-varying volatility and volatility transmission in Asian foreign exchange markets are investigated in this paper. It has been found that the time-varying volatility and volatility transmission are all prominent in these markets. Moreover, variance simulation is carried out and the structure of covariance matrices examined, revealing the characteristics of Asian foreign exchange markets and offering explanations to the findings. |
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| Keywords: | foreign exchange rate time-varying volatility variance simulation volatility transmission |
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