Ding, Liang; Vo, Minh - In: The Quarterly Review of Economics and Finance 52 (2012) 1, pp. 15-37
This paper uses the multivariate stochastic volatility (MSV) and the multivariate GARCH (MGARCH) models to investigate the volatility interactions between the oil market and the foreign exchange (FX) market, in an attempt to extract information intertwined in the two for better volatility...
