Browsing Department of Accounting and Finance by Research Institute "Institute for Applied Economics and Social Value (IAESV)"
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Causal flows between oil and forex markets using high-frequency data: Asymmetries from good and bad volatility
(Article)This paper investigates the causal linkages in volatility between crude oil prices and six major bilateral exchange rates against the U.S. dollar in the time-frequency space using high-frequency intraday data. Special ...