INTERPENDENCIES AMONG CENTRAL EUROPEAN CURRENCIES KLIBER A.M. Księgarnia

INTERDEPENDENCIES AMONG CENTRAL EUROPEAN CURRENCIES

Introduction

1. Exchange rate regimes

2. Volatility
2.1. Concept and models
2.2. ARCH and GARCH models
2.3. Univariate Stochastic Volatility models
2.3.1. The base Stochastic Volatility Model
2.3.2. Stochastic Volatility Model with Student distribution
2.3.3. Stochastic Volatility Model with Leverage Effect
2.4. Multivariate Stochastic Volatility models
2.4.1. Dynamic Conditional Correlation Stochastic Volatility Model (DCC- -MSV)
2.4.2. Stochastic Volatility Model with Granger Causality (GC-MSV)

3. Volatility transmission – a survey
3.1. The basic concepts
3.2. Methodology
3.2.1. Tests based upon the reactions to unexpected shocks or news – the volatility spillover index
3.2.2. Tests on structural breaks in correlation
3.2.3. Causality tests

4. The data
4.1. Raw data
4.2. Logarithmic differences

5. Volatility estimation
5.1. Volatility of CZK/USD exchange rate
5.2. Volatility of HUF/USD exchange rate
5.3. Volatility of PLN/USD exchange rate
5.4. Volatility of EUR/USD exchange rate

6. Volatility transmission – spillovers effect
6.1. Volatility transmission over the whole period – the method of covariance matrix decomposition
6.1.1. Regional volatility transmission
6.1.2. Transmission between Western and Central Europe exchange markets
6.2. Index of volatility spillover

7. Volatility transmission – correlation effect
7.1. Changes in dynamic correlation between Central Europe and Euro Zone
7.1.1. CZK/USD and EUR/USD
7.1.2. HUF/USD and EUR/USD
7.1.3. PLN/USD and EUR/USD
7.2. Changes in dynamic correlation within the Central European Market
7.2.1. CZK/USD and HUF/USD
7.2.2. CZK/USD and PLN/USD
7.2.3. HUF/USD and PLN/USD

8. Volatility transmission – the causality effect
8.1. Causality between CZK/USD and HUF/USD
8.1.1. Order of variables: CZK/USD – HUF/USD
8.1.2. Order of variables: HUF/USD – CZK/USD
8.2. Causality between HUF/USD and PLN/USD
8.2.1. Order of variables: HUF/USD – PLN/USD
8.2.2. Order of variables: PLN/USD – HUF/USD
8.3. Causality between CZK/USD and PLN/USD
8.3.1. Ordering of variables: CZK/USD – PLN/USD
8.3.2. Ordering of variables: PLN/USD – CZK/USD
8.4. Causality between CZK/USD and EUR/USD
8.5. Causality between PLN/USD and EUR/USD
8.6. Causality between HUF/USD and EUR/USD

Conclusions
References
Index of tables
Index of figures
Summary
Streszczenie

105 pages, Paperback

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