Najand, M., Rahman, H., and Yung, K., "Inte r-Currenc y Transmission of Volatility in Foreign Exchange Futures," The Journal of Futures Markets, Vol. 12 No.1 (December 1992), pp. 609-620.  Home/Search   Document Not in Database   Summary   Related Articles

....by applying GARCH methodology to the daily open and close yen dollar spot rate in Tokyo, London, and New York. They conclude that volatility is transmitted from one location to another (volatility acts like a meteor shower ) rather than volatility only occurring in one location (a heat wave ) Najand, Rahman, and Yung (1992) use daily currency 2 Other articles of interest concerning the degree of interrelatedness of international equity markets on a daily basis, as well as the direction and magnitude of the transmission of these market movements, include Fisher and Palasvirta (1990) Philippatos, Christofi and ....

Najand, M., Rahman, H., and Yung, K., "Inte r-Currenc y Transmission of Volatility in Foreign Exchange Futures," The Journal of Futures Markets, Vol. 12 No.1 (December 1992), pp. 609-620.

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