Empirical Analysis of ¡°Volatility Surprise¡± between Dollar Exchange Rate and CRB Commodity Future Markets
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References 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.
- Frankel, Jeffrey A., 2014.
"Effects of speculation and interest rates in a “carry trade” model of commodity prices,"
Journal of International Money and Finance,
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- Frankel, Jeffrey A., 2013. "Effects of Speculation and Interest Rates in a "Carry Trade" Model of Commodity Prices," Working Paper Series rwp13-022, Harvard University, John F. Kennedy School of Government.
- 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.
- Aboura, Sofiane & Chevallier, Julien, 2014.
"Volatility equicorrelation: A cross-market perspective,"
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- Julien Chevallier & Sofiane Aboura, 2014. "Volatility equicorrelation: A cross-market perspective," Post-Print hal-01531237, HAL.
- Hamao, Yasushi & Masulis, Ronald W & Ng, Victor, 1990. "Correlations in Price Changes and Volatility across International Stock Markets," Review of Financial Studies, Society for Financial Studies, vol. 3(2), pages 281-307.
- repec:dau:papers:123456789/12323 is not listed on IDEAS
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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