Modeling nonlinear Granger causality between the oil price and US dollar : a wavelet based approach
Year of publication: |
2012
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Authors: | Benhmad, François |
Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 29.2012, 4, p. 1505-1514
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Subject: | Granger causality | Wavelets | Real oil price | Real effective U.S. Dollar exchange rate | Ölpreis | Oil price | Kausalanalyse | Causality analysis | US-Dollar | US dollar | Wechselkurs | Exchange rate | USA | United States | Zustandsraummodell | State space model | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Kaufkraftparität | Purchasing power parity | Kointegration | Cointegration |
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