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q-fin.GN2018
Total, asymmetric and frequency connectedness between oil and forex markets
Jozef Baruník, Evžen Kočenda
We analyze total, asymmetric and frequency connectedness between oil and forex markets using high-frequency, intra-day data over the period 2007 -- 2017. By employing variance deco…
q-fin.GN2016
Asymmetric volatility connectedness on forex markets
Jozef Barunik, Evzen Kocenda, Lukas Vacha
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…