Chen, Wei-Peng; Choudhry, Taufiq; Wu, Chih-Chiang - In: Journal of International Money and Finance 36 (2013) C, pp. 191-210
volatility and dependence structures between the oil price and the US dollar exchange rate. An asset-allocation strategy is … basis points by incorporating extreme-value information into their asset-allocation strategies; less risk-averse investors … can generate higher benefits. The empirical results have potentially important implications for asset allocation and risk …