Exchange rates and oil prices: A multivariate stochastic volatility analysis

Quarterly Review of Economics and Finance

Volumn 52, Issue 1, 2012, Pages 15-37

  Ding, Liang ^a   Vo, Minh ^b,c  

^a MACALESTER COLLEGE   (United States)

^b METROPOLITAN STATE UNIVERSITY   (United States)

^c DEAKIN UNIVERSITY   (Australia)

Author keywords

Exchange rate risk; Multivariate GARCH; Multivariatestochastic volatility; Oil price risk; Volatility forecast

Indexed keywords

EID: 84858076454     PISSN: 10629769     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.qref.2012.01.003     Document Type: Article

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