Causal flows between oil and forex markets using high-frequency data : asymmetries from good and bad volatility
Md. Samsul Alam, Syed Jawad Hussain Shahzad, Román Ferrer
| Year of publication: |
2019
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|---|---|
| Authors: | Alam, Md. Samsul ; Shahzad, Syed Jawad Hussain ; Ferrer, Román |
| Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 84.2019, p. 1-21
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| Subject: | Granger causality | Exchange rates | Crude oil prices | Asymmetry | Good and bad volatility | High-frequency data | Realized volatility | Wavelet analysis | Volatilität | Volatility | Kausalanalyse | Causality analysis | Wechselkurs | Exchange rate | Ölpreis | Oil price | Schätzung | Estimation | Devisenmarkt | Foreign exchange market | Kapitaleinkommen | Capital income | Zeitreihenanalyse | Time series analysis | Welt | World | Prognoseverfahren | Forecasting model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.eneco.2019.104513 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012183298