Volatility spillover between oil prices and main exchange rates: Evidence from a DCC-GARCH-connectedness approach

Leila Ben Salem, Montassar Zayati, Ridha Nouira and Christophe Rault
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Montassar Zayati: Université de Sousse
Ridha Nouira: Université de Sousse

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Keywords: Shanghai futures; WTI; Exchange rates; DCC-GARCH-CONNECTEDNESS; COVID-19; Russian‒Ukrainian war (search for similar items in EconPapers)
Date: 2024-04
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Published in Resources Policy, 2024, 91, pp.104880. ⟨10.1016/j.resourpol.2024.104880⟩

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Related works:
Journal Article: Volatility spillover between oil prices and main exchange rates: Evidence from a DCC-GARCH-connectedness approach (2024)
Working Paper: Volatility Spillover between Oil Prices and Main Exchange Rates: Evidence from a DCC-GARCH-Connectedness Approach (2024)
Working Paper: Volatility Spillover between Oil Prices and Main Exchange Rates: Evidence from a DCC-GARCH-Connectedness Approach (2024)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-04798539

DOI: 10.1016/j.resourpol.2024.104880

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