This paper examines the relationship between oil prices and the US dollar exchange rate using detrended cross-correlation analysis. For a wide set of currencies in the periods before and since the onset of the recent global financial crisis, we characterized the oil price–exchange rate...

This paper examines gold's hedging and value-preserving properties against fluctuations in the US dollar. We propose a likelihood ratio test that draws a distinction between hedging and safe-haven characteristics on the basis of the conditional dependence structure under different market...

This paper studies the relationship between oil prices and US dollar exchange rates using wavelet multi-resolution analysis. We characterized the oil price–exchange rate relationship for different timescales in an attempt to disentangle the possible existence of contagion and interdependence...

This paper assesses the hedging and downside risk benefits of using gold for currency risk management at different investment horizons. Using wavelet multi-resolution analysis, we characterized market interdependence between gold and exchange rates for different time scales, finding positive...

This paper studies time durations between extreme returns with the aim of testing whether they follow power-law behaviour. Using the Hill estimator to identify extreme returns and estimate time durations, empirical evidence for intraday returns for the S&P 500, DAX and IBEX-35 stock market...

In this article, we combine machine learning techniques with statistical moments of the gasoline price distribution. By doing so, we aim to detect and predict cartels in the Brazilian retail market. In addition to the traditional variance screen, we evaluate how the standard deviation,...