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The economic value of co-movement between oil price and exchange rate using copula-based GARCH models

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Cited by:

  1. Jinan Liu & Apostolos Serletis, 2023. "Volatility and dependence in energy markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 47(1), pages 15-37, March.
  2. Ben Salem, Leila & Zayati, Montassar & Nouira, Ridha & Rault, Christophe, 2024. "Volatility spillover between oil prices and main exchange rates: Evidence from a DCC-GARCH-connectedness approach," Resources Policy, Elsevier, vol. 91(C).
  3. Fenghua Wen & Jihong Xiao & Chuangxia Huang & Xiaohua Xia, 2018. "Interaction between oil and US dollar exchange rate: nonlinear causality, time-varying influence and structural breaks in volatility," Applied Economics, Taylor & Francis Journals, vol. 50(3), pages 319-334, January.
  4. Mbarki, Imen & Khan, Muhammad Arif & Karim, Sitara & Paltrinieri, Andrea & Lucey, Brian M., 2023. "Unveiling commodities-financial markets intersections from a bibliometric perspective," Resources Policy, Elsevier, vol. 83(C).
  5. Yang, Lu & Cai, Xiao Jing & Hamori, Shigeyuki, 2018. "What determines the long-term correlation between oil prices and exchange rates?," The North American Journal of Economics and Finance, Elsevier, vol. 44(C), pages 140-152.
  6. Jozef Baruník & Evžen KoÄ enda, 2019. "Total, Asymmetric and Frequency Connectedness between Oil and Forex Markets," The Energy Journal, , vol. 40(2_suppl), pages 157-174, December.
  7. Bedoui, Rihab & Braiek, Sana & Guesmi, Khaled & Chevallier, Julien, 2019. "On the conditional dependence structure between oil, gold and USD exchange rates: Nested copula based GJR-GARCH model," Energy Economics, Elsevier, vol. 80(C), pages 876-889.
  8. Fernandes, Leonardo H.S. & Araújo, Fernando H.A., 2020. "Taxonomy of commodities assets via complexity-entropy causality plane," Chaos, Solitons & Fractals, Elsevier, vol. 137(C).
  9. Yang, Lu & Cai, Xiao Jing & Hamori, Shigeyuki, 2017. "Does the crude oil price influence the exchange rates of oil-importing and oil-exporting countries differently? A wavelet coherence analysis," International Review of Economics & Finance, Elsevier, vol. 49(C), pages 536-547.
  10. Wen, Jun & Zhao, Xin-Xin & Chang, Chun-Ping, 2021. "The impact of extreme events on energy price risk," Energy Economics, Elsevier, vol. 99(C).
  11. Khalid M. Kisswani, 2016. "Does oil price variability affect ASEAN exchange rates? Evidence from panel cointegration test," Applied Economics, Taylor & Francis Journals, vol. 48(20), pages 1831-1839, April.
  12. Kristoufek, Ladislav, 2014. "Leverage effect in energy futures," Energy Economics, Elsevier, vol. 45(C), pages 1-9.
  13. Bedoui, Rihab & Braeik, Sana & Goutte, Stéphane & Guesmi, Khaled, 2018. "On the study of conditional dependence structure between oil, gold and USD exchange rates," International Review of Financial Analysis, Elsevier, vol. 59(C), pages 134-146.
  14. Gao Wenxin & Wen Jun & Zakaria Muhammad & Mahmood Hamid, 2022. "Nonlinear and Asymmetric Impact of Oil Prices on Exchange Rates: Evidence from South Asia," Economics - The Open-Access, Open-Assessment Journal, De Gruyter, vol. 16(1), pages 243-256, January.
  15. Taufeeque Ahmad Siddiqui & Haseen Ahmed & Mohammad Naushad & Uzma Khan, 2023. "The Relationship between Oil Prices and Exchange Rate: A Systematic Literature Review," International Journal of Energy Economics and Policy, Econjournals, vol. 13(3), pages 566-578, May.
  16. Guo, Ranran & Ye, Wuyi, 2021. "A model of dynamic tail dependence between crude oil prices and exchange rates," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
  17. Viktor Manahov, 2018. "The rise of the machines in commodities markets: new evidence obtained using Strongly Typed Genetic Programming," Annals of Operations Research, Springer, vol. 260(1), pages 321-352, January.
  18. Ji, Qiang & Liu, Bing-Yue & Fan, Ying, 2019. "Risk dependence of CoVaR and structural change between oil prices and exchange rates: A time-varying copula model," Energy Economics, Elsevier, vol. 77(C), pages 80-92.
  19. Jungho Baek, 2021. "The role of crude oil prices in the movement of the Indonesian rupiah: a quantile ARDL approach," Economic Change and Restructuring, Springer, vol. 54(4), pages 975-994, November.
  20. Jiang, Yong & Ren, Yi-Shuai & Narayan, Seema & Ma, Chao-Qun & Yang, Xiao-Guang, 2022. "Heterogeneity dependence between oil prices and exchange rate: Evidence from a parametric test of Granger causality in quantiles," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
  21. Jungho Baek & Yoon Jung Choi, 2021. "Do fluctuations in crude oil prices have symmetric or asymmetric effects on the real exchange rate? Empirical evidence from Indonesia," The World Economy, Wiley Blackwell, vol. 44(1), pages 312-325, January.
  22. Cheng, Xian & Wu, Peng & Liao, Stephen Shaoyi & Wang, Xuelian, 2023. "An integrated model for crude oil forecasting: Causality assessment and technical efficiency," Energy Economics, Elsevier, vol. 117(C).
  23. Li, Huajiao & An, Haizhong & Liu, Xueyong & Gao, Xiangyun & Fang, Wei & An, Feng, 2016. "Price fluctuation in the energy stock market based on fluctuation and co-fluctuation matrix transmission networks," Energy, Elsevier, vol. 117(P1), pages 73-83.
  24. Jiang, Zhe & Zhang, Lin & Zhang, Lingling & Wen, Bo, 2022. "Investor sentiment and machine learning: Predicting the price of China's crude oil futures market," Energy, Elsevier, vol. 247(C).
  25. Han, Liyan & Lv, Qiuna & Yin, Libo, 2017. "Can investor attention predict oil prices?," Energy Economics, Elsevier, vol. 66(C), pages 547-558.
  26. Meng, Juan & Nie, He & Mo, Bin & Jiang, Yonghong, 2020. "Risk spillover effects from global crude oil market to China’s commodity sectors," Energy, Elsevier, vol. 202(C).
  27. Pérez-Rodríguez, Jorge V. & Ledesma-Rodríguez, Francisco & Santana-Gallego, María, 2015. "Testing dependence between GDP and tourism's growth rates," Tourism Management, Elsevier, vol. 48(C), pages 268-282.
  28. Kayalar, Derya Ezgi & Küçüközmen, C. Coşkun & Selcuk-Kestel, A. Sevtap, 2017. "The impact of crude oil prices on financial market indicators: copula approach," Energy Economics, Elsevier, vol. 61(C), pages 162-173.
  29. Tong, Bin & Diao, Xundi & Wu, Chongfeng, 2015. "Modeling asymmetric and dynamic dependence of overnight and daytime returns: An empirical evidence from China Banking Sector," Economic Modelling, Elsevier, vol. 51(C), pages 366-382.
  30. Jo-Hui & Chen & Sabbor Hussain, 2022. "Jump Dynamics and Leverage Effect: Evidences from Energy Exchange Traded Fund (ETFs)," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 12(6), pages 1-7.
  31. Narayan, Seema, 2013. "Foreign exchange markets and oil prices in Asia," Journal of Asian Economics, Elsevier, vol. 28(C), pages 41-50.
  32. Jorge V. Pérez-Rodríguez, 2020. "Another look at the implied and realised volatility relation: a copula-based approach," Risk Management, Palgrave Macmillan, vol. 22(1), pages 38-64, March.
  33. Muhammad Shahbaz & Aviral Kumar Tiwari & Mohammad Iqbal Tahir, 2015. "Analyzing time-frequency relationship between oil price and exchange rate in Pakistan through wavelets," Journal of Applied Statistics, Taylor & Francis Journals, vol. 42(4), pages 690-704, April.
  34. Parul Bhatia, 2021. "Sustainability Of Exchange Rates And Crude Oil Prices Connection With Covid-19: An Investigation For Brics," Annals - Economy Series, Constantin Brancusi University, Faculty of Economics, vol. 5, pages 19-29, October.
  35. Phan, Dinh Hoang Bach & Narayan, Paresh Kumar & Gong, Qiang, 2021. "Terrorist attacks and oil prices: Hypothesis and empirical evidence," International Review of Financial Analysis, Elsevier, vol. 74(C).
  36. Prince Osei Mensah & Anokye M. Adam, 2020. "Copula-Based Assessment of Co-Movement and Tail Dependence Structure Among Major Trading Foreign Currencies in Ghana," Risks, MDPI, vol. 8(2), pages 1-20, June.
  37. Qadan, Mahmoud & Idilbi-Bayaa, Yasmeen, 2020. "Risk appetite and oil prices," Energy Economics, Elsevier, vol. 85(C).
  38. Li, Xiao-Ping & Zhou, Chun-Yang & Wu, Chong-Feng, 2017. "Jump spillover between oil prices and exchange rates," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 486(C), pages 656-667.
  39. Mouna Aloui & Jarboui Anis, 2023. "The Dynamic Relation between the Oil Price Volatility, Stock Market, Exchange and Interest Rate in GCC Countries: Panel Vector Autoregressive (PVAR) Model," International Journal of Economics & Business Administration (IJEBA), International Journal of Economics & Business Administration (IJEBA), vol. 0(3), pages 114-128.
  40. Peng, Wei & Hu, Shichao & Chen, Wang & Zeng, Yu-feng & Yang, Lu, 2019. "Modeling the joint dynamic value at risk of the volatility index, oil price, and exchange rate," International Review of Economics & Finance, Elsevier, vol. 59(C), pages 137-149.
  41. Quanrui Song & Jianxu Liu & Songsak Sriboonchitta, 2019. "Risk Measurement of Stock Markets in BRICS, G7, and G20: Vine Copulas versus Factor Copulas," Mathematics, MDPI, vol. 7(3), pages 1-16, March.
  42. Aloui, Riadh & Hammoudeh, Shawkat & Nguyen, Duc Khuong, 2013. "A time-varying copula approach to oil and stock market dependence: The case of transition economies," Energy Economics, Elsevier, vol. 39(C), pages 208-221.
  43. Hem C. Basnet & Puneet Vatsa & Subhash Sharma, 2014. "Common Trends and Common Cycles in Oil Price and Real Exchange Rate," Global Economy Journal (GEJ), World Scientific Publishing Co. Pte. Ltd., vol. 14(2), pages 249-263, June.
  44. Lee, Chien-Chiang & Chen, Mei-Ping & Chang, Chi-Hung, 2014. "Industry co-movement and cross-listing: Do home country factors matter?," Japan and the World Economy, Elsevier, vol. 32(C), pages 96-110.
  45. Abdullahi Musa & Afees A. Salisu & Saleh Abulbashar & Chinecherem D. Okoronkwo, 2022. "Oil price uncertainty and real exchange rate in a global VAR framework: a note," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 46(4), pages 704-712, October.
  46. Baek, Jungho, 2022. "Does COVID-19 play any role in the asymmetric relationship between oil prices and exchange rates? Evidence from South Korea," Economic Analysis and Policy, Elsevier, vol. 74(C), pages 553-559.
  47. Aleksander Olstad & George Filis & Stavros Degiannakis, 2021. "Oil and currency volatilities: Co‐movements and hedging opportunities," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2351-2374, April.
  48. Katja Ignatieva & Natalia Ponomareva, 2017. "Commodity currencies and commodity prices: modelling static and time-varying dependence," Applied Economics, Taylor & Francis Journals, vol. 49(15), pages 1491-1512, March.
  49. Maud Korley & Evangelos Giouvris, 2022. "The Impact of Oil Price and Oil Volatility Index (OVX) on the Exchange Rate in Sub-Saharan Africa: Evidence from Oil Importing/Exporting Countries," Economies, MDPI, vol. 10(11), pages 1-29, November.
  50. Mustafa Kocoglu & Phouphet Kyophilavong & Ashar Awan & So Young Lim, 2023. "Time-varying causality between oil price and exchange rate in five ASEAN economies," Economic Change and Restructuring, Springer, vol. 56(2), pages 1007-1031, April.
  51. Jianxu Liu & Quanrui Song & Yang Qi & Sanzidur Rahman & Songsak Sriboonchitta, 2020. "Measurement of Systemic Risk in Global Financial Markets and Its Application in Forecasting Trading Decisions," Sustainability, MDPI, vol. 12(10), pages 1-15, May.
  52. Bassetti, Federico & De Giuli, Maria Elena & Nicolino, Enrica & Tarantola, Claudia, 2018. "Multivariate dependence analysis via tree copula models: An application to one-year forward energy contracts," European Journal of Operational Research, Elsevier, vol. 269(3), pages 1107-1121.
  53. Aglasan, Serkan & Wu, Shenan & Goodwin, Barry K., 2021. "Cross-hedging with Agricultural Commodities: A Copula-GARCH Approach," 2021 Annual Meeting, August 1-3, Austin, Texas 313960, Agricultural and Applied Economics Association.
  54. Reboredo, Juan C. & Rivera-Castro, Miguel A., 2013. "A wavelet decomposition approach to crude oil price and exchange rate dependence," Economic Modelling, Elsevier, vol. 32(C), pages 42-57.
  55. Avdulaj, Krenar & Barunik, Jozef, 2015. "Are benefits from oil–stocks diversification gone? New evidence from a dynamic copula and high frequency data," Energy Economics, Elsevier, vol. 51(C), pages 31-44.
  56. Guesmi, Khaled & Fattoum, Salma, 2014. "Return and volatility transmission between oil prices and oil-exporting and oil-importing countries," Economic Modelling, Elsevier, vol. 38(C), pages 305-310.
  57. Turhan, M. Ibrahim & Sensoy, Ahmet & Hacihasanoglu, Erk, 2014. "A comparative analysis of the dynamic relationship between oil prices and exchange rates," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 32(C), pages 397-414.
  58. Bing‐Yue Liu & Qiang Ji & Duc Khuong Nguyen & Ying Fan, 2021. "Dynamic dependence and extreme risk comovement: The case of oil prices and exchange rates," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2612-2636, April.
  59. Jianxu Liu & Mengjiao Wang & Ji Ma & Sanzidur Rahman & Songsak Sriboonchitta, 2020. "A Simultaneous Stochastic Frontier Model with Dependent Error Components and Dependent Composite Errors: An Application to Chinese Banking Industry," Mathematics, MDPI, vol. 8(2), pages 1-23, February.
  60. Carbajal-De-Nova, Carolina & Venegas-Martínez, Francisco, 2019. "On the paradigm shift of asset pricing models, before and after the global financial crisis: a literature review," Panorama Económico, Escuela Superior de Economía, Instituto Politécnico Nacional, vol. 15(29), pages 7-38, Primer se.
  61. Benjamin Ighodalo Ehikioya & Alexander Ehimare Omankhanlen & Ayopo Abiola Babajide & Godswill Osagie Osuma & Cordelia Onyinyechi Omodero, 2020. "Oil Price Fluctuations and Exchange Rate in Selected Sub-Saharan Africa countries: A Vector Error Correction Model Approach," International Journal of Energy Economics and Policy, Econjournals, vol. 10(6), pages 242-249.
  62. Zhu, Huiming & Li, Shuang & Huang, Zishan, 2023. "Frequency domain quantile dependence and connectedness between crude oil and exchange rates: Evidence from oil-importing and exporting countries," The Quarterly Review of Economics and Finance, Elsevier, vol. 90(C), pages 1-30.
  63. Mahadeo, Scott M.R. & Heinlein, Reinhold & Legrenzi, Gabriella D., 2019. "Energy contagion analysis: A new perspective with application to a small petroleum economy," Energy Economics, Elsevier, vol. 80(C), pages 890-903.
  64. Arthur Charpentier, 2015. "Prévision avec des copules en finance," Working Papers hal-01151233, HAL.
  65. Kim, Jong-Min & Kim, Dong H. & Jung, Hojin, 2020. "Modeling non-normal corporate bond yield spreads by copula," The North American Journal of Economics and Finance, Elsevier, vol. 53(C).
  66. Chkir, Imed & Guesmi, Khaled & Brayek, Angham Ben & Naoui, Kamel, 2020. "Modelling the nonlinear relationship between oil prices, stock markets, and exchange rates in oil-exporting and oil-importing countries," Research in International Business and Finance, Elsevier, vol. 54(C).
  67. Wang, Lu & Ruan, Hang & Hong, Yanran & Luo, Keyu, 2023. "Detecting the hidden asymmetric relationship between crude oil and the US dollar: A novel neural Granger causality method," Research in International Business and Finance, Elsevier, vol. 64(C).
  68. Ahmad, Wasim & Prakash, Ravi & Uddin, Gazi Salah & Chahal, Rishman Jot Kaur & Rahman, Md. Lutfur & Dutta, Anupam, 2020. "On the intraday dynamics of oil price and exchange rate: What can we learn from China and India?," Energy Economics, Elsevier, vol. 91(C).
  69. Tatiana K. Blokhina & Oksana A. Karpenko & Andrey V. Guirinskiy, 2016. "The Relationship between Oil Prices and Exchange Rate in Russia," International Journal of Energy Economics and Policy, Econjournals, vol. 6(4), pages 721-726.
  70. Youssef, Manel & Mokni, Khaled, 2020. "Modeling the relationship between oil and USD exchange rates: Evidence from a regime-switching-quantile regression approach," Journal of Multinational Financial Management, Elsevier, vol. 55(C).
  71. Jawadi, Fredj & Louhichi, Waël & Ameur, Hachmi Ben & Cheffou, Abdoulkarim Idi, 2016. "On oil-US exchange rate volatility relationships: An intraday analysis," Economic Modelling, Elsevier, vol. 59(C), pages 329-334.
  72. Volkov, Nikanor I. & Yuhn, Ky-hyang, 2016. "Oil price shocks and exchange rate movements," Global Finance Journal, Elsevier, vol. 31(C), pages 18-30.
  73. Mensi, Walid & Hammoudeh, Shawkat & Yoon, Seong-Min, 2015. "Structural breaks, dynamic correlations, asymmetric volatility transmission, and hedging strategies for petroleum prices and USD exchange rate," Energy Economics, Elsevier, vol. 48(C), pages 46-60.
  74. Benzid, Lamia & Bakari, Sayef, 2021. "Modeling the Asymmetric Relationship between the Covid-19 and the U.S Dollar Exchange Rate: an Empirical Analysis via the NARDL Approach," MPRA Paper 105566, University Library of Munich, Germany.
  75. Fotini Economou & Konstantinos Gavriilidis & Bartosz Gebka & Vasileios Kallinterakis, 2022. "Feedback trading: a review of theory and empirical evidence," Review of Behavioral Finance, Emerald Group Publishing Limited, vol. 15(4), pages 429-476, February.
  76. Jia Liao & Yu Shi & Xiangyun Xu, 2018. "Why Is the Correlation between Crude Oil Prices and the US Dollar Exchange Rate Time-Varying?—Explanations Based on the Role of Key Mediators," IJFS, MDPI, vol. 6(3), pages 1-13, June.
  77. de Truchis, Gilles & Keddad, Benjamin, 2016. "On the risk comovements between the crude oil market and U.S. dollar exchange rates," Economic Modelling, Elsevier, vol. 52(PA), pages 206-215.
  78. Jammazi, Rania & Lahiani, Amine & Nguyen, Duc Khuong, 2015. "A wavelet-based nonlinear ARDL model for assessing the exchange rate pass-through to crude oil prices," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 34(C), pages 173-187.
  79. Krzysztof Drachal, 2018. "Exchange Rate and Oil Price Interactions in Selected CEE Countries," Economies, MDPI, vol. 6(2), pages 1-21, May.
  80. Yin, Libo & Ma, Xiyuan, 2018. "Causality between oil shocks and exchange rate: A Bayesian, graph-based VAR approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 508(C), pages 434-453.
  81. Nouira, Ridha & Hadj Amor, Thouraya & Rault, Christophe, 2019. "Oil price fluctuations and exchange rate dynamics in the MENA region: Evidence from non-causality-in-variance and asymmetric non-causality tests," The Quarterly Review of Economics and Finance, Elsevier, vol. 73(C), pages 159-171.
  82. Kumeka, Terver Theophilus & Uzoma-Nwosu, Damian Chidozie & David-Wayas, Maria Onyinye, 2022. "The effects of COVID-19 on the interrelationship among oil prices, stock prices and exchange rates in selected oil exporting economies," Resources Policy, Elsevier, vol. 77(C).
  83. Quintino, António & Catalão-Lopes, Margarida & Lourenço, João Carlos, 2019. "Can switching from gasoline to aromatics mitigate the price risk of refineries?," Energy Policy, Elsevier, vol. 134(C).
  84. Ma, Yiqun & Wang, Junhao, 2019. "Co-movement between oil, gas, coal, and iron ore prices, the Australian dollar, and the Chinese RMB exchange rates: A copula approach," Resources Policy, Elsevier, vol. 63(C), pages 1-1.
  85. Wanat, Stanisław & Papież, Monika & Śmiech, Sławomir, 2014. "The conditional dependence structure between precious metals: a copula-GARCH approach," MPRA Paper 56664, University Library of Munich, Germany.
  86. Aloui, Riadh & Ben Aïssa, Mohamed Safouane & Nguyen, Duc Khuong, 2013. "Conditional dependence structure between oil prices and exchange rates: A copula-GARCH approach," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 719-738.
  87. Xu, Yang & Han, Liyan & Wan, Li & Yin, Libo, 2019. "Dynamic link between oil prices and exchange rates: A non-linear approach," Energy Economics, Elsevier, vol. 84(C).
  88. Chen, Hongtao & Liu, Li & Wang, Yudong & Zhu, Yingming, 2016. "Oil price shocks and U.S. dollar exchange rates," Energy, Elsevier, vol. 112(C), pages 1036-1048.
  89. Khalid M. Kisswani & Arezou Harraf & Amjad M. Kisswani, 2019. "Revisiting the effects of oil prices on exchange rate: asymmetric evidence from the ASEAN-5 countries," Economic Change and Restructuring, Springer, vol. 52(3), pages 279-300, August.
  90. Rania Jammazi & Duc Khuong Nguyen, 2017. "Estimating and forecasting portfolio’s Value-at-Risk with wavelet-based extreme value theory: Evidence from crude oil prices and US exchange rates," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 68(11), pages 1352-1362, November.
  91. Asadi, Mehrad & Roubaud, David & Tiwari, Aviral Kumar, 2022. "Volatility spillovers amid crude oil, natural gas, coal, stock, and currency markets in the US and China based on time and frequency domain connectedness," Energy Economics, Elsevier, vol. 109(C).
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  95. Albulescu, Claudiu Tiberiu & Demirer, Riza & Raheem, Ibrahim D. & Tiwari, Aviral Kumar, 2019. "Does the U.S. economic policy uncertainty connect financial markets? Evidence from oil and commodity currencies," Energy Economics, Elsevier, vol. 83(C), pages 375-388.
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  100. Wen, Danyan & Liu, Li & Ma, Chaoqun & Wang, Yudong, 2020. "Extreme risk spillovers between crude oil prices and the U.S. exchange rate: Evidence from oil-exporting and oil-importing countries," Energy, Elsevier, vol. 212(C).
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  105. Zhao, Jing, 2022. "Exploring the influence of the main factors on the crude oil price volatility: An analysis based on GARCH-MIDAS model with Lasso approach," Resources Policy, Elsevier, vol. 79(C).
  106. Yin, Libo & Yang, Qingyuan, 2016. "Predicting the oil prices: Do technical indicators help?," Energy Economics, Elsevier, vol. 56(C), pages 338-350.
  107. Soliman, Alaa M. & Nasir, Muhammad Ali, 2019. "Association between the energy and emission prices: An analysis of EU emission trading system," Resources Policy, Elsevier, vol. 61(C), pages 369-374.
  108. Kleinbrod, Vincent M. & Li, Xiao-Ming, 2017. "Order flow and exchange rate comovement," Journal of International Money and Finance, Elsevier, vol. 77(C), pages 199-215.
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  110. Kyophilavong, Phouphet & Abakah, Emmanuel Joel Aikins & Tiwari, Aviral Kumar, 2023. "Cross-spectral coherence and co-movement between WTI oil price and exchange rate of Thai Baht," Resources Policy, Elsevier, vol. 80(C).
  111. brayek, Angham ben & Sebai, Saber & Naoui, Kamel, 2015. "A study of the interactive relationship between oil price and exchange rate: A copula approach and a DCC-MGARCH model," The Journal of Economic Asymmetries, Elsevier, vol. 12(2), pages 173-189.
  112. Baek, Jungho, 2023. "Supply and demand shocks in the global oil market: How much do they matter for exchange rates in OPEC members?," Resources Policy, Elsevier, vol. 81(C).
  113. Aloui, Riadh & Ben Aïssa, Mohamed Safouane, 2016. "Relationship between oil, stock prices and exchange rates: A vine copula based GARCH method," The North American Journal of Economics and Finance, Elsevier, vol. 37(C), pages 458-471.
  114. Oguzhan Cepni, Duc Khuong Nguyen, and Ahmet Sensoy, 2022. "News Media and Attention Spillover across Energy Markets: A Powerful Predictor of Crude Oil Futures Prices," The Energy Journal, International Association for Energy Economics, vol. 0(Special I).
  115. Kim, Jong-Min & Jung, Hojin, 2017. "Can asymmetric conditional volatility imply asymmetric tail dependence?," Economic Modelling, Elsevier, vol. 64(C), pages 409-418.
  116. KANTA TANNIYOM & Paponpat Taveeapiradeecharoen & Prapatchon Jariyapan, 2015. "Modeling Dependency and Conditional Volatility between Asian Economic Community (AEC) Country Exchange Rate and Inflation Using the Copula-GARCH Model," Proceedings of International Academic Conferences 2704733, International Institute of Social and Economic Sciences.
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