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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, doi: 10.1016/j.qref.2012.01.003.

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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
DOI 10.1016/j.qref.2012.01.003
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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Created: Thu, 31 May 2012, 10:17:52 EST by Aysun Alpyurek

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