This paper analyses the dynamic dependence between WTI crude oil and the exchange
rates of the United States and China, taking structural changes of dependence into account …

Motivated from Ross (1989) who maintains that asset volatilities are synonymous to the
information flow, we claim that cross-market volatility transmission effects are synonymous to …

This article examines the nonlinear Granger causality and time-varying influence between
crude oil prices and the US dollar (USD) exchange rate using the Hiemstra and Jones (HP) …

This paper examines the extent of volatility between oil price and sectoral indices in the Gulf
Cooperation Council (GCC) countries by using quantile regression analysis (QRA) for the …

We use a copula approach to investigate the effect of uncertainty on crude-oil returns. Using
copulas to construct multivariate distributions of time-series data permit the calculation of the …

This paper examines the short-run and long-run dynamic relationship between the US
imported crude oil prices and exchange rates. The monthly data of the US crude oil imports …

We employ the time-varying copula approach to investigate the conditional dependence
between the Brent crude oil price and stock markets in the Central and Eastern European …

We provide novel insight to the emerging literature on the role of US monetary policy as a
driver of a global financial cycle by examining the possible causal effect of US economic …

This study verified the presence of returns and volatility spillovers across five major stock
markets and the bitcoin market. A multivariate VARMA-AGARCH model was used to model …

As the supply of commodities forms essential lifelines for modern society, commodity price
fluctuations can significantly impact the operation and sustainable development of …