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Exchange rate comovements, hedging and volatility spillovers on new EU forex markets

Kočenda, Evžen ; Moravcová, Michala



Zusammenfassung

We analyze time-varying exchange rate co-movements, hedging ratios, and volatility spillovers on the new EU forex markets during 1999M1-2018M5. We document significant differences in the extent of currency comovements during various periods of market distress that are related to real economic and financial events. These imply favorable diversification benefits: the hedge-ratio calculations show ...

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