The pass-through of macro variable to volatility co-movement among U.S. currency and commodity futures markets system
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DOI: 10.1016/j.jcomm.2025.100463
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Keywords
; ; ; ; ; ;JEL classification:
- Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market
- F31 - International Economics - - International Finance - - - Foreign Exchange
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
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