Empirical Analysis of ¡°Volatility Surprise¡± between Dollar Exchange Rate and CRB Commodity Future Markets
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References listed on IDEAS
- repec:dau:papers:123456789/12323 is not listed on IDEAS
- Ding, Liang & Vo, Minh, 2012. "Exchange rates and oil prices: A multivariate stochastic volatility analysis," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(1), pages 15-37.
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Elsevier, vol. 42(C), pages 88-112.
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- Jeffrey A. Frankel, 2013. "Effects of Speculation and Interest Rates in a "Carry Trade" Model of Commodity Prices," NBER Working Papers 19463, National Bureau of Economic Research, Inc.
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More about this item
KeywordsMGARCH; volatility surprise; dollar exchange rate; CRB commodity future market;
- R00 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General - - - General
- Z0 - Other Special Topics - - General
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