The Global Transmission of Volatility in the Foreign Exchange Market
By Michael Melvin, Bettina Peiers Melvin. Review of Economics and Statistics, 2003
122 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/e967e7f62832608cc6eec83b6e57d7ae36ad95ac
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- John Cotter
- Filip Žikeš
- Evézen Kocenda
- S. Stevenson
- Vit Bubak
- Marco Rocco
- Nikolaos Antonakakis
- David Gabauer
In Finance
- John Cotter
- Filip Žikeš
- Evézen Kocenda
- S. Stevenson
- Vit Bubak
- Marco Rocco
- Nikolaos Antonakakis
- David Gabauer
Citations in the corpus
- Rethinking financial contagion: Information transmission mechanism during the COVID-19 pandemic (2020, unknown): “…region-specific information transmission effects (more detailed discussions and the results illustrating those phenomena are presented in the studies e.g. by Melvin and Melvin, 2003, Ibrahim and Brzeszczyński, 2009; 2014, Brzeszczyński and Ibrahim, 2019; Yarovaya et al., 2016a,b, among others).”
- Multivariate Modeling of Daily REIT Volatility (2006, background): “Further studies have also examined the foreign exchange markets, Melvin & Melvin (2003) and Huang & Yang (2002).”
- Volatility Transmission in Emerging European Foreign Exchange Markets (2011, background): “Melvin and Melvin (2003) provide evidence of statistically significant intra- and inter-regional volatility spillovers in the DEM/USD and JPY/USD forex markets.”