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Interaction between oil and US dollar exchange rate : nonlinear causality, time-varying influence and structural breaks in volatility

Wen, Fenghua; Xiao, Jihong; Huang, Chuangxia; Xia, Xiaohua - In: Applied economics 50 (2018) 3, pp. 319-334

Persistent link: https://www.econbiz.de/10011846847

Real exchange rate volatility, financial crises and exchange rate regimes

Morales Zumaquero, Amalia; Sosvilla-Rivero, Simón - In: Applied economics 46 (2014) 7/9, pp. 826-847

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Investigating new sources of information and nonlinearities on financial markets

Behrendt, Simon - 2020

Persistent link: https://www.econbiz.de/10012415028

Crude oil market and global financial crisis : structural break and market volatility analysis

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Clarifying the response of gold return to financial indicators : an empirical comparative analysis using ordinary least squares, robust and quantile regressions

Miyazaki, Takashi - In: Journal of risk and financial management : JRFM 12 (2019) 1/33, pp. 1-18

In this study, I apply a quantile regression model to investigate how gold returns respond to changes in various financial indicators. The model quantifies the asymmetric response of gold return in the tails of the distribution based on weekly data over the past 30 years. I conducted a...

Persistent link: https://www.econbiz.de/10012022330