Volatility of ruble exchange rate: Oil and sanctions
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Cited by:
- Daniil Lomonosov & Andrey Polbin & Nikita Fokin, 2021. "The Impact of Global Economic Activity, Oil Supply and Speculative Oil Shocks on the Russian Economy," HSE Economic Journal, National Research University Higher School of Economics, vol. 25(2), pages 227-262.
- Fantazzini, Dean & Shangina, Tamara, 2019.
"The importance of being informed: forecasting market risk measures for the Russian RTS index future using online data and implied volatility over two decades,"
Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 55, pages 5-31.
- Fantazzini, Dean & Shangina, Tamara, 2019. "The importance of being informed: forecasting market risk measures for the Russian RTS index future using online data and implied volatility over two decades," MPRA Paper 95992, University Library of Munich, Germany.
- Salisu, Afees A. & Cuñado, Juncal & Gupta, Rangan, 2022.
"Geopolitical risks and historical exchange rate volatility of the BRICS,"
International Review of Economics & Finance, Elsevier, vol. 77(C), pages 179-190.
- Afees A. Salisu & Juncal Cunado & Rangan Gupta, 2020. "Geopolitical Risks and Historical Exchange Rate Volatility of the BRICS," Working Papers 2020105, University of Pretoria, Department of Economics.
- Kolesnikova, Anna & Fantazzini, Dean, 2021.
"Asymmetry and hysteresis in the Russian gasoline market: The rationale for green energy exports,"
Energy Policy, Elsevier, vol. 157(C).
- Fantazzini, Dean & Kolesnikova, Anna, 2021. "Asymmetry and hysteresis in the Russian gasoline market: the rationale for green energy exports," MPRA Paper 109297, University Library of Munich, Germany.
- Makushkin, Mikhail & Lapshin, Victor, 2020. "Modelling tail dependencies between Russian and foreign stock markets: Application for market risk valuation," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 57, pages 30-52.
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More about this item
Keywords
exchange rate volatility; oil price volatility; Russia; sanctions; AR-TGARCH; VAR-BEKK;All these keywords.
JEL classification:
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- F51 - International Economics - - International Relations, National Security, and International Political Economy - - - International Conflicts; Negotiations; Sanctions
- G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
- G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
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