Contagion effects in forward and spot foreign exchange markets
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CitationKilic, E. (2017). Contagion effects in forward and spot foreign exchange markets. IAAE (International Association of Applied Econometrics)
Contagion effects in the Forex Markets are estimated by the help of a bivariate Hawkes diffusion model. Contagion occurs in most cases beyond volatility. n this regard, asymmetry in these expectations is involved. The asymmetry depends on each currency pair. Internal market dynamics, as well as the transmission of country-specific dynamics are important features in determining the exact impact of the asymmetry on the evolution of these parameters.