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首页> 外文期刊>Journal of Asia-Pacific Business >Exchange Rate Return and Volatility Spillover across Major Trading Partners of India
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Exchange Rate Return and Volatility Spillover across Major Trading Partners of India

机译：跨印度贸易伙伴的汇率返回和波动性溢出

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摘要

We examine the connectedness among the series of four exchange rates with respect to the Indian Rupee. The results of Diebold and Yilmaz method which measures time-domain connectedness, show that the overall connectedness of the system is 30.15%. The results of Barunfk and Krehlik approach which measures frequency-domain connectedness, exhibit that in the total connectedness the maximum contribution is from highest frequency (14.27%) and the lowest contribution is made by the second-lowest frequency (2.03%). Finally, the dynamic connectedness is also examined with rolling window methods. These results are very critical in understanding the connectedness among various exchange rate markets.
机译：我们在印度卢比方面检查了一系列四个汇率之间的关联性。测量时域连接度的模具和yilmaz方法的结果表明系统的整体连接程度为30.15％。 Barunfk和Krehlik方法的结果测量频域连接，展示在总关联中的最大贡献中来自最高频率（14.27％），最低贡献由第二次最低频率（2.03％）进行。最后，还通过滚动窗口方法检查动态连接。这些结果对于了解各种汇率市场之间的关联性非常重要。

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