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

By Chih-Chiang Wu, Huimin Chung, Yu Chang. 2011

261 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/b7012c1fc962e4c450c34c7fe32ad435c4b932db

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. Muhammad Shahbaz
2. Aviral Kumar Tiwari
3. M. I. Tahir
4. Jihong Xiao
5. Xiaohua Xia
6. Chuangxia Huang
7. Fenghua Wen
8. Ilhan Ozturk

In Finance

1. Jihong Xiao
2. Chuangxia Huang
3. Fenghua Wen
4. Aviral Kumar Tiwari
5. Muhammad Shahbaz
6. M. I. Tahir
7. Xiaohua Xia

Citations in the corpus

• Analyzing time–frequency relationship between oil price and exchange rate in Pakistan through wavelets (2015, background): “In addition; Kanturk, [49] examined the effect of oil prices on exchange rate volatility in Turkey and concluded that rise in oil prices has significant impact on exchange rate volatility but”
• Interaction between oil and US dollar exchange rate: nonlinear causality, time-varying influence and structural breaks in volatility (2018, methodology): “Using the general method of moments, Yousefi and Wirjanto (2004) revealed that fluctuations in the USD exchange rate influenced the formation of organization of petroleum exporting countries (OPEC) crude prices. Zhang et al. (2008) found a significant long-term equilibrium cointegrating relationship”