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On the risk comovements between the crude oil market and the U.S. dollar exchange rates

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  • Gilles de Truchis
  • Benjamin Keddad

Abstract

This article examines the volatility dependence between the crude oil price and four US dollar exchange rates using both fractional cointegration and copula techniques. The former exploits the long memory behavior of the volatility processes to investi

Suggested Citation

  • Gilles de Truchis & Benjamin Keddad, 2014. "On the risk comovements between the crude oil market and the U.S. dollar exchange rates," Working Papers 2014-383, Department of Research, Ipag Business School.
  • Handle: RePEc:ipg:wpaper:2014-383
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    2. repec:ipg:wpaper:2014-500 is not listed on IDEAS
    3. repec:ipg:wpaper:2014-546 is not listed on IDEAS
    4. Jawadi, Fredj & Louhichi, Waël & Ameur, Hachmi Ben & Cheffou, Abdoulkarim Idi, 2016. "On oil-US exchange rate volatility relationships: An intraday analysis," Economic Modelling, Elsevier, vol. 59(C), pages 329-334.
    5. repec:eee:ecmode:v:67:y:2017:i:c:p:203-214 is not listed on IDEAS
    6. repec:spr:empeco:v:53:y:2017:i:3:d:10.1007_s00181-016-1165-6 is not listed on IDEAS
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    8. repec:eee:eneeco:v:76:y:2018:i:c:p:48-63 is not listed on IDEAS
    9. repec:ipg:wpaper:2014-449 is not listed on IDEAS
    10. repec:eee:mulfin:v:42-43:y:2017:i::p:116-131 is not listed on IDEAS
    11. repec:ejn:ejefjr:v:6:y:2018:i:1:p:84-92 is not listed on IDEAS
    12. Jose Eduardo Gomez-Gonzalez & Jorge Hirs-Garzon & Jorge M. Uribe, 2017. "Dynamic Connectedness and Causality between Oil prices and Exchange Rates," Borradores de Economia 1025, Banco de la Republica de Colombia.
    13. repec:ipg:wpaper:2014-523 is not listed on IDEAS

    More about this item

    Keywords

    Comovement; Volatility linkage; Fractional cointegration; Copula; Oil market; Exchange rate;

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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