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On the intraday dynamics of oil price and exchange rate: What can we learn from China and India?
(Elsevier, 2020-09-01)
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The main aim of this paper is to investigate the volatility determinants of crude oil and foreign exchange markets and jump spillover between them. We consider currencies of two major oil-importing countries (India and ...
Comparing the Risk Spillover from Oil and Gas to Investment Grade and High-yield Bonds through Optimal Copulas
(International Association for Energy Economics, 2022-02-01)
- article
This paper compares the tail dependence and risk spillovers from the oil and gas to high-yield (HY) and investment grade (IG) bond markets. We use time-varying optimal copula framework to examine the dependence and further ...