Volatility Interdependence on Foreign Exchange Markets: The Contribution of Cross-Rates

•The volatility interdependence of 21 bilateral exchange rates among 7 major currencies is examined.•We focus on the volatility interdependence between the USD (EUR) rate and its cross-rate.•The spillover index is estimated to identify the direction and magnitude of volatility spillovers.•Wavelet analysis is used to identify localized correlations of volatilities in time-frequency space.•We find significant contributions of cross-rates to the volatility interdependence in FX markets.