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Exchange rates and oil prices : a multivariate stochastic volatility analysis

Ding, Liang and Vo, Minh 2012, Exchange rates and oil prices : a multivariate stochastic volatility analysis, Quarterly review of economics and finance, vol. 52, no. 1, pp. 15-37.

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Title Exchange rates and oil prices : a multivariate stochastic volatility analysis
Author(s) Ding, Liang
Vo, Minh
Journal name Quarterly review of economics and finance
Volume number 52
Issue number 1
Start page 15
End page 37
Total pages 13
Publisher Elsevier
Place of publication Amsterdam, Netherlands
Publication date 2012-02
ISSN 1062-9769
Keyword(s) oil price risk
exchange rate risk
multivariate stochastic volatility
multivariate GARCH
volatility forecast
Language eng
Field of Research 140207 Financial Economics
140210 International Economics and International Finance
Socio Economic Objective 859999 Energy not elsewhere classified
HERDC Research category C1 Refereed article in a scholarly journal
Copyright notice ©2012, Elsevier
Persistent URL http://hdl.handle.net/10536/DRO/DU:30045625

Document type: Journal Article
Collections: Faculty of Business and Law
Deakin Graduate School of Business
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