ABSTRACT 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 Baruník and Křehlík 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.

中文翻译：

---

印度主要贸易伙伴的汇率回报和波动率溢出

摘要我们研究了与印度卢比有关的四个汇率系列之间的联系。Diebold和Yilmaz方法测量时域连通性的结果表明，系统的整体连通性为30.15％。Baruník和Křehlík方法的测量结果显示了频域连接性，结果表明，在总连接性中，最大贡献来自最高频率（14.27％），最低贡献来自第二低频率（2.03％）。最后，还使用滚动窗口方法检查了动态连接性。这些结果对于理解各种汇率市场之间的联系非常关键。