Conditional dependence structure between oil prices and exchange rates: A copula-GARCH approach

By Riadh Aloui, Mohamed Safouane Ben Aïssa, Duc Khuong Nguyen. 2013

302 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/b2f213ea30b59cb304aecb0a5ba7c09405b2c29c

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Rangan Gupta
2. Stephen M. Miller
3. Huiming Zhu
4. Jihong Xiao
5. Xiaohua Xia
6. Sufang Li
7. Riadh Aloui
8. Rong Li

In Finance

1. Rangan Gupta
2. Stephen M. Miller
3. Jihong Xiao
4. Riadh Aloui
5. Rong Li
6. Sufang Li
7. Chuangxia Huang
8. Fenghua Wen

Citations in the corpus

• Forecasting oil price realized volatility using information channels from other asset classes (2017, unknown): “6 See, inter alia, Aloui and Jammazi (2009), Sari et al. (2010), Arouri et al. (2011), Aloui et al. (2013), Souček and Todorova (2013, 2014), Mensi et al. (2014), Antonakakis et al. (2014), Sadorsky (2014), Phan et al. (2015), IEA (2015), Ferraro et al. (2015).”
• Modelling dynamic dependence between crude oil prices and Asia-Pacific stock market returns (2014, background): “(2012), who investigate tagion effect between energy and stock markets (using daily observations from December 30, 2005 to November 30, 2010); Broadstock, Cao, and Zhang who discuss how the co-movement between oil and other energy-related prices and stock returns in China (using weekly observations ”
• Uncertainty and Crude Oil Returns (2016, methodology): “Following Aloui et al. (2013b), we estimate the copula parameters based on a rolling window of 250 days.10 Again, we apply the empirical cumulative distribution function (ECDF) for the marginal distributions and estimate the copula dependence parameters.”
• Interaction between oil and US dollar exchange rate: nonlinear causality, time-varying influence and structural breaks in volatility (2018, methodology): “Using the copular-GARCH model, Aloui, Aïssa, and Nguyen (2013) found that the depreciation of the dollar was associated with the increase in crude oil prices, and the tail dependence between them increased during the financial crisis.”