RETRACTED: On the conditional dependence structure between oil, gold and USD exchange rates: Nested copula based GJR-GARCH model

Author:

Bedoui Rihab,Braiek Sana,Guesmi Khaled,Chevallier Julien

Publisher

Elsevier BV

Subject

General Energy,Economics and Econometrics

Reference49 articles.

1. Market risk analysis, practical financial econometrics (Vol. 2);Alexander,2008

2. Conditional dependence structure between oil prices and exchange rates: a copula-GARCH approach;Aloui;J. Int. Money Financ.,2013

3. Oil prices and the rise and fall of the US real exchange rate;Amano;J. Int. Money Financ.,1998

4. On the impacts of oil price fluctuations on European equity markets: volatility spillover and hedging effectiveness;Arouri;Energy Econ.,2012

5. Oil spills on other commodities;Baffes;Resour. Policy,2007

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