On the risk comovements between the crude oil market and U.S. dollar exchange rates
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- 作者：Gilles de Truchisa ; 1 ; gilles.de-truchis@univ-amu.fr" class="auth_mail" title="E-mail the corresponding author ; Benjamin Keddadb ; b.keddad@gmail.com" class="auth_mail" title="E-mail the corresponding author
- 关键词：Comovement ; Volatility linkage ; Fractional cointegration ; Copula ; Oil market ; Exchange rate
- 刊名：Economic Modelling
- 出版年：2016
- 出版时间：January 2016
- 年：2016
- 卷：52
- 期：part_PA
- 页码：206-215
- 全文大小：1580 K
文摘
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Several U.S. dollar exchange rates and crude oil market are considered.
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Short- and long-run analysis of their volatility processes is performed.
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Fractional cointegration and dynamic copula-based models are used.
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Little evidence of co-persistence appears between the volatilities.
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In short-run, evidence of time-varying correlations is provided.