Exchange Rates and Oil Prices: A Multivariate Stochastic Volatility Analysis

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How COVID-19 drives connectedness among commodity and financial markets: Evidence from TVP-VAR and causality-in-quantiles techniques (2020, background): “One can relate the linkages between these markets through the portfolio and wealth channel (see Bénassy-Quéré et al., 2007; Buetzer et al., 2012; Coudert et al., 2008; Ding and Vo, 2012; Fedoseeva, 2018; Volkov and Yuhn, 2016), and the terms of trade channel (see Amano and Van Norden, 1998a, 1998b; ”
Modeling returns and volatility transmission between oil price and US–Nigeria exchange rate (2013, background): “This bidirectional volatility transmissions between the two markets attest to the findings of Ding and Vo (2012) that also detect the same relationship although they consider a different modeling framework.”
Correlation in Energy Markets (2017, background): “, Engle et al. (1992), Timmer and Lamb (2007) and Swindle (2014), making the next natural step to include weather contracts in the above-mentioned strategies.”