Exchange rates and oil prices : a multivariate stochastic volatility analysis

journal contribution

posted on 2012-02-01, 00:00 authored by L Ding, Minh Vo

Exchange rates and oil prices : a multivariate stochastic volatility analysis

History

Journal

Quarterly review of economics and finance

Volume

52

Pagination

15 - 37

Location

Amsterdam, Netherlands

ISSN

1062-9769

Language

eng

Publication classification

C1 Refereed article in a scholarly journal

Copyright notice

2012, Elsevier

Usage metrics

Categories

Other economics not elsewhere classified

Keywords

oil price risk exchange rate risk multivariate stochastic volatility multivariate GARCH volatility forecast Social Sciences Economics Business & Economics Multivariatestochastic volatility Economics

Licence

All Rights Reserved

Exports