Since oil prices are typically governed by nonlinear and chaotic behavior, it’s become rather difficult to capture the dominant properties of their fluctuations. In recent years, unprecedented interest emerged on the decomposition methods in order to capture drifts or spikes relatively to this...

We investigate whether changes in the US dollar exchange rates of 18 currencies help explain the movements in the price of crude oil by using a wavelet-based nonlinear autoregressive distributed lags model (W-NARDL). This model allows one to capture the short- and long-run nonlinearities while...

Oil price prediction has usually proved to be an intractable task due to the intrinsic complexity of oil market mechanism. In addition, the recent oil shock and its consequences relaunch the debate on understanding the behavior underlying the expected oil prices. Combining the dynamic properties...

The main aim of the present paper is to explore how the interactions between crude oil (CO) price changes and stock returns of five developed countries namely U.S.A, Canada, Germany, Japan and U.K., evolve simultaneously over time and frequency, in light of the conflicting evidence provided by...