英文标题：
《Asymmetric volatility connectedness on forex markets》
---
作者：
Jozef Barunik and Evzen Kocenda and Lukas Vacha
---
最新提交年份：
2016
---
英文摘要：
  We show how bad and good volatility propagate through forex markets, i.e., we provide evidence for asymmetric volatility connectedness on forex markets. Using high-frequency, intra-day data of the most actively traded currencies over 2007 - 2015 we document the dominating asymmetries in spillovers that are due to bad rather than good volatility. We also show that negative spillovers are chiefly tied to the dragging sovereign debt crisis in Europe while positive spillovers are correlated with the subprime crisis, different monetary policies among key world central banks, and developments on commodities markets. It seems that a combination of monetary and real-economy events is behind the net positive asymmetries in volatility spillovers, while fiscal factors are linked with net negative spillovers.
---
中文摘要：
我们展示了坏波动和好波动如何通过外汇市场传播，也就是说，我们提供了外汇市场上非对称波动连通性的证据。利用2007-2015年间交易最活跃货币的高频日内数据，我们记录了溢出效应中的主要不对称性，这些不对称性是由不良波动性而非良好波动性造成的。我们还表明，负溢出主要与欧洲拖沓的主权债务危机有关，而正溢出则与次贷危机、世界主要央行的不同货币政策以及大宗商品市场的发展有关。货币和实体经济事件的组合似乎是波动性溢出净正不对称的背后原因，而财政因素与净负溢出相关。
---
分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：General Finance        一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
--
一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
--

---
PDF下载：
-->