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

Gilles de Truchis and Benjamin Keddad ()

No 2014-383, Working Papers from Department of Research, Ipag Business School

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

Keywords: Comovement; Volatility linkage; Fractional cointegration; Copula; Oil market; Exchange rate (search for similar items in EconPapers)
JEL-codes: C22 E44 (search for similar items in EconPapers)
Pages: 21 pages
Date: 2014-01-01
New Economics Papers: this item is included in nep-ene
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Citations: View citations in EconPapers (3)

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Related works:
Journal Article: On the risk comovements between the crude oil market and U.S. dollar exchange rates (2016)
Working Paper: On the risk comovements between the crude oil market and U.S. dollar exchange rates (2016)
Working Paper: On the Risk Comovements between the Crude Oil Market and the U.S. Dollar Exchange Rates (2014)
Working Paper: On the Risk Comovements between the Crude Oil Market and the U.S. Dollar Exchange Rates (2014)
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