The economic value of co-movement between oil price and exchange rate using copula-based GARCH models

Energy Economics

Volumn 34, Issue 1, 2012, Pages 270-282

  Wu, Chih Chiang ^a   Chung, Huimin ^b   Chang, Yu Hsien ^b  

^a YUAN ZE UNIVERSITY   (Taiwan)

^b NATIONAL CHIAO TUNG UNIVERSITY   (Taiwan)

Author keywords

Co movement; Economic value; Exchange rate; Oil; Time varying copula

Indexed keywords

CO-MOVEMENT; ECONOMIC VALUE; EXCHANGE RATE; OIL; TIME VARYING;

COMMERCE; COSTS; CRUDE OIL; FEEDBACK; VALUE ENGINEERING;

ECONOMICS;

CRUDE OIL; CURRENCY; EXCHANGE RATE; FORECASTING METHOD; MODELING; OIL SUPPLY; PRICE DYNAMICS;

UNITED STATES;

EID: 84856044449     PISSN: 01409883     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.eneco.2011.07.007     Document Type: Article

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