Oil price and FX-rates dependency

DOI10.1080/14697688.2015.1045930zbMath1468.91050OpenAlexW2140580749MaRDI QIDQ5001144

Theo Berger, Joscha Beckmann, Robert L. Czudaj

Publication date: 16 July 2021

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2015.1045930

zbMATH Keywords

copulacorrelationGARCHexchange rateoil price

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Macroeconomic theory (monetary models, models of taxation) (91B64) Microeconomic theory (price theory and economic markets) (91B24)

Related Items (3)

Oil prices and sovereign credit risk of oil producing countries: an empirical investigation ⋮ Counterdiagonal/nonpositive tail dependence in vine copula constructions: application to portfolio management ⋮ Gold price dynamics and the role of uncertainty

Cites Work

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• An introduction to copulas. Properties and applications
• Estimation of risk measures in energy portfolios using modern copula techniques
• Can Exchange Rates Forecast Commodity Prices?^*
• Asymmetric extreme interdependence in emerging equity markets
• Estimating and Testing Linear Models with Multiple Structural Changes
• A Survey on Time-Varying Copulas: Specification, Simulations, and Application
• Modeling and Forecasting Realized Volatility

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