dynamics of oil price volatility by examining interactions between oil market and exchange rate in selected MENA countries …) to examine the presence of volatility spillover between oil prices and exchange rates return series. The econometric … rates, and ii) there is significant evidence of volatility spillovers from oil markets to exchange rate markets in the …

Changes in residual volatility in vector autoregressive (VAR) models can be used for identifying structural shocks in a … structural VAR analysis. Testable conditions are given for full identification for the case where the volatility changes can be … modelled by a multivariate GARCH process. Formal statistical tests are presented for identification and their small sample …

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 …

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 …

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