Volatility Spillover in Exchange Rates between Asian Developed Economies and Emerging Economies
This study examines the interaction of exchange rates between the Asian developed economies: Japan and Singapore and emerging economies: China, India, Malaysia, Sri Lanka and Thailand over the period January 1, 2006 to December 31, 2014. The volatility spillover is modeled through a GARCH-BEKK model. Significant results are found for unidirectional spillover from Japan and Singapore to emerging ec