Liao, Jia; Shi, Yu; Xu, Xiangyun - In: International Journal of Financial Studies : open … 6 (2018) 3, pp. 1-13
Using DCC-GARCH model, this paper finds that, since 1990, the relationship between crude oil prices and the US dollar index is time-varying, demonstrating a process of ‘very weak correlation-negative correlation-enhanced negative correlation-weakening negative correlation’, but the existing...