- Title
- Asymmetric interdependence between currency markets' volatilities across frequencies and time scales
- Creator
- Shahzad, Syed Jawad Hussain; Arreola-Hernandez, Jose; Rahman, Md Lutfur; Uddin, Gazi Salah; Yahya, Muhammad
- Relation
- International Journal of Finance & Economics Vol. 26, Issue 2, p. 2436-2457
- Publisher Link
- http://dx.doi.org/10.1002/ijfe.1915
- Publisher
- Wiley-Blackwell
- Resource Type
- journal article
- Date
- 2021
- Description
- We investigate the dynamics of interdependence between realized variances and realized semivariances of six major currencies across frequencies and time scales. The empirical results are derived, first, through constructing daily measures of realized variance and semivariance from a high frequency 5-min interval data, and second, by fitting wavelet squared coherence and wavelet cohesion measure with time-varying weights. The realized volatilities of the currencies and their cross-currency influences are found to increase during the global financial crisis. The realized volatilities of the Euro, Swiss Franc, and British Pound are closely synchronized over the short-term horizon. However, over the long-run, the Euro, Swiss Franc, and Japanese Yen lead the realized volatilities of the British Pound, Australian Dollar, and Canadian Dollar. The synchronization structure of positive and negative realized volatilities indicates asymmetric dependence among the currencies across time horizons. We further observe strong positive (negative) cohesion among the realized volatilities over the medium- and long-term horizons. Finally, significant counter cyclical comovements among the currencies are observed over the medium- and long-term horizons. These findings have important implications for foreign exchange portfolio managers.
- Subject
- comovements; currencies; realized volatility; volatility jumps; wavelets; SDG 10; Sustainable Development Goals
- Identifier
- http://hdl.handle.net/1959.13/1461825
- Identifier
- uon:46308
- Identifier
- ISSN:1076-9307
- Rights
- This is the peer reviewed version of the following article: Shahzad, Syed Jawad Hussain; Arreola-Hernandez, Jose; Rahman, Md Lutfur; Uddin, Gazi Salah; Yahya, Muhammad. “Asymmetric interdependence between currency markets' volatilities across frequencies and time scales”. International Journal of Finance & Economics Vol. 26, Issue 2, p. 2436-2457 (2021), which has been published in final form at http://dx.doi.org/10.1002/ijfe.1915. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Use of Self-Archived Versions. This article may not be enhanced, enriched or otherwise transformed into a derivative work, without express permission from Wiley or by statutory rights under applicable legislation. Copyright notices must not be removed, obscured or modified. The article must be linked to Wiley’s version of record on Wiley Online Library and any embedding, framing or otherwise making available the article or pages thereof by third parties from platforms, services and websites other than Wiley Online Library must be prohibited.
- Language
- eng
- Full Text
- Reviewed
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Goal 10: Reduced Inequalities
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