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Oil price and exchange rate co-movements in Asian countries: Detrended cross-correlation approach
16 references·5 citing·34 second hop
Oil price and exchange rate co-movements in Asian countries: Detrended cross-correlation approach (2016)Oil price and exchange rate co-movements …Conditional dependence structure between oil prices and exchange rates: A copula-GARCH approach (2012)Conditional dependence struct…Statistical tests for power-law cross-correlated processes (2011)Statistical tests for power-l…Oil prices, exchange rates and emerging stock markets (2011)Oil prices, exchange rates an…Modelling oil price and exchange rate co-movements (2011)Modelling oil price and excha…Examining crude oil price – Exchange rate nexus for India during the period of extreme oil price volatility (2010)Examining crude oil price – E…DCCA cross-correlation coefficient: Quantifying level of cross-correlation (2010)DCCA cross-correlation coeffi…Oil price fluctuations and U.S. dollar exchange rates (2009)Oil price fluctuations and U.…Oil price dynamics and speculation (2009)Oil price dynamics and specul…Cross-correlations between volume change and price change (2009)Cross-correlations between vo…Spillover effect of US dollar exchange rate on oil prices (2008)Spillover effect of US dollar…Detrended Cross-Correlation Analysis: A New Method for Analyzing Two Nonstationary Time Series (2008)Detrended Cross-Correlation A…The role of oil price shocks on China's real exchange rate (2006)The role of oil price shocks …Oil prices and real exchange rates (2006)Oil prices and real exchange …Oil Prices and Exchange Rates (1983)Oil Prices and Exchange RatesOil and the Macroeconomy since World War II (1983)Oil and the Macroeconomy sinc…Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Investigating Causal Relation…Oil price shocks and exchange rate dynamics: Evidence from decomposed and partial connectedness measures for oil importing and exporting economies (2023)Oil price shocks and exchange…Crude oil price and exchange rate: Evidence from the period before and after the launch of China's crude oil futures (2021)Crude oil price and exchange …Signatures of the Crypto-Currency Market Decoupling from the Forex (2019)Signatures of the Crypto-Curr…Multifractal cross-correlations between the world oil and other financial markets in 2012–2017 (2019)Multifractal cross-correlatio…Interdependence between crude oil and world food prices: A detrended cross correlation analysis (2017)Interdependence between crude…Fractional Differencing (1981)Hierarchical structure in financial markets (1999)Multifractal detrending moving-average cross-correlation analysis (2011)Multifractal analysis of financial markets: a review (2019)The Current Account and Macroeconomic Adjustment in the 1970s (1981)The Impact of Oil Price Shocks on the Economic Growth of Selected MENA1 Countries (2010)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Statistical analysis of cointegration vectors (1988)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)How COVID-19 drives connectedness among commodity and financial markets: Evidence from TVP-VAR and causality-in-quantiles techniques (2020)The Macroeconomic Effects of Oil Supply News: Evidence from OPEC Announcements (2021)Macroeconomics and Reality (1980)Comparing alternative tests of causality in temporal systems (1983)This is what happened to the oil price-macroeconomy relationship (1996)Oil price shocks and stock market activity (1999)What is an Oil Shock? (2000)AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)Detrended cross-correlation analysis consistently extended to multifractality (2014)Stock markets and the COVID-19 fractal contagion effects (2020)A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test (1999)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Testing for unit roots in heterogeneous panels (2003)The Variation of Certain Speculative Prices (1963)Generalized autoregressive conditional heteroskedasticity (1986)The Econometrics of Financial Markets (1997)Statistical inference in vector autoregressions with possibly integrated processes (1995)Efficient Tests for an Autoregressive Unit Root (1996)Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market (2009)Oil price shocks and stock market activities: Evidence from oil-importing and oil-exporting countries (2013)Oil price shocks and stock market returns: New evidence from the United States and China (2014)Revisiting the oil price and stock market nexus: A nonlinear Panel ARDL approach (2017)Multifractal detrended cross-correlation analysis for two nonstationary signals (2008)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Testing for Granger non-causality in heterogeneous panels (2012)
this work references cited by second hop

References

  • 1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods22,971 cited
  • 1983Oil and the Macroeconomy since World War II3,823 cited
  • 2008Detrended Cross-Correlation Analysis: A New Method for Analyzing Two Nonstationary Time Series1,476 cited
  • 2011Oil prices, exchange rates and emerging stock markets729 cited
  • 2009Cross-correlations between volume change and price change631 cited
  • 2010DCCA cross-correlation coefficient: Quantifying level of cross-correlation611 cited
  • 2006Oil prices and real exchange rates584 cited
  • 1983Oil Prices and Exchange Rates468 cited
  • 2009Oil price fluctuations and U.S. dollar exchange rates457 cited
  • 2011Statistical tests for power-law cross-correlated processes443 cited
  • 2011Modelling oil price and exchange rate co-movements378 cited
  • 2008Spillover effect of US dollar exchange rate on oil prices368 cited
  • 2012Conditional dependence structure between oil prices and exchange rates: A copula-GARCH approach290 cited
  • 2009Oil price dynamics and speculation274 cited
  • 2006The role of oil price shocks on China's real exchange rate252 cited

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2010
Examining crude oil price – Exchange rate nexus for India during the period of extreme oil price volatility
230 cited

Cited by

  • 2017Interdependence between crude oil and world food prices: A detrended cross correlation analysis87 cited
  • 2019Multifractal cross-correlations between the world oil and other financial markets in 2012–201787 cited
  • 2023Oil price shocks and exchange rate dynamics: Evidence from decomposed and partial connectedness measures for oil importing and exporting economies79 cited
  • 2019Signatures of the Crypto-Currency Market Decoupling from the Forex69 cited
  • 2021Crude oil price and exchange rate: Evidence from the period before and after the launch of China's crude oil futures62 cited