Aloui, Riadh; Aïssa, Mohamed Safouane Ben; Nguyen, Duc … - Institut de Préparation à l'Administration et à la … - 2014
We study the conditional dependence structure between crude oil prices and U.S. dollar exchange rates using a copula-GARCH approach. Various copula functions of the elliptical, Archimedean and quadratic families are used to model the underlying dependence structure in both bearish and bullish...