This study tests the theory that currency crises are associated with sudden large changes in the structure of foreign exchange market volatility. Due to increases in market uncertainty, crisis periods exhibit abnormally high levels of volatility. By studying short-term changes in volatility...

Although the relationship between oil prices and exchange rates has been investigated extensively in the literature, the results remain mixed. The aim of this article is to revisit this relationship allowing for nonlinear dynamics in the speed of adjustment to the equilibrium. This article...

This paper investigates the nonlinear risk transmission from the oil and natural gas markets to the foreign exchange markets of five energy importers and one major energy exporter. We separate conditional volatility into the transitory (short-term) and permanent (long-term) parts, and then these...