strong and rising negative correlation between oil prices and the US dollar since the early 2000s, with risk shocks and the … financialisation process of oil prices explaining most of the strengthening of this correlation. …

) analysis. Such restrictions are typically just-identifying but can be checked by utilizing changes in volatility. This paper … reviews and contrasts the volatility models that have been used for this purpose. Three main approaches have been used …, exogenously generated changes in the unconditional residual covariance matrix, changing volatility modelled by a Markov switching …

news and communication along with the estimated exchange rate misalignment on exchange rate as well as its volatility …

-skewness, and co-volatility contagion tests. Our analysis is applied to the oil-exchange rate and oil-stock market relationships of …We put forward the novel concept of energy contagion, i.e. a deepening of energy-finance linkages under crisis periods … in energy markets, and test for this using standard correlation measures and recently proposed adjusted correlation, co …

return correlations using weekly returns on futures markets and investigate the extent to which multivariate volatility … version of the Gaussian dynamic conditional correlation (DCC) model proposed by Engle (2002), and show that the t-DCC model …

. -- high frequency data ; long memory ; volatility persistence ; structural breaks …

A growing literature uses changes in residual volatility for identifying structural shocks in vector autoregressive … in applications in this context. This study reviews the different volatility models and points out their advantages and …

inference even in large samples. Common estimation strategies in high dimensions or with tight restrictions can prove to be … estimation and identification of vector autoregressions to achieve sharper inference. First, we provide conditions when imposing …

real-time, Bayesian estimation of a small monetary VAR with time-varying parameters. We use it to calculate the probability … macroeconomic uncertainty, includes Greenbook forecasts, revisions of those forecasts, and a measure of stock market volatility …