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This paper studies the dynamics of volatility transmission between Central European (CE) currencies and the EUR/USD foreign exchange using model-free estimates of daily exchange rate volatility based on intraday data. We formulate a flexible yet parsimonious parametric model in which the daily realized volatility of a given exchange rate depends both on its own lags as well as on the lagged realized...
We analyze comovements among three stock markets in Central and Eastern Europe and, in addition, interdependence which may exist between Western European (DAX, CAC, UKX) and Central and Eastern European (BUX, PX-50, WIG-20) stock markets. The novelty of our paper rests mainly on the use of 5-min tick intraday price data from mid-2003 to early 2005 for stock indices and on the wide range of econometric...
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