- Adeniyi, O.A. ; Omisakin, D. ; Olusegun, A. ; Yaqub, J. ; Oyinlola, A. Oil price-exchange rate nexus in Nigeria: further evidence from an oil exporting economy. 2012 Int. J. Humanit. Soc. Sci.. 2 -
Paper not yet in RePEc: Add citation now
Adi, A.A. ; Adda, S.P. ; Wobilor, A.K. Shocks and volatility transmission between oil price and Nigeria's exchange rate. 2022 SN Business & Economics. 2 47-
- Agyei, S.K. Emerging markets equities' response to geopolitical risk: time-frequency evidence from the Russian-Ukrainian conflict era. 2023 Heliyon. 9 -
Paper not yet in RePEc: Add citation now
Ajmi, H. ; Arfaoui, N. ; Saci, K. Volatility transmission across international markets amid COVID 19 pandemic. 2021 Stud. Econ. Finance. 38 926-945
Albulescu, C. Coronavirus and Oil Price Crash. 2020 :
- Aloui, R. ; Aïssa, M.S.B. ; Nguyen, D.K. Conditional dependence structure between oil prices and exchange rates: a copula-GARCH approach. 2013 J. Int. Money Finance. 32 719-738
Paper not yet in RePEc: Add citation now
Altarturi, B.H. ; Alshammri, A.A. ; Hussin, T.M.T.T. ; Saiti, B. Oil price and exchange rates: a wavelet analysis for organisation of oil exporting countries members. 2016 Int. J. Energy Econ. Pol.. 6 421-430
Asadi, M. ; Roubaud, D. ; Tiwari, A.K. Volatility spillovers amid crude oil, natural gas, coal, stock, and currency markets in the US and China based on time and frequency domain connectedness. 2022 Energy Econ.. 109 -
- Bala, D.A. ; Takimoto, T. Stock markets volatility spillovers during financial crises: a DCC-MGARCH with skewed-t density approach. 2017 Borsa Istanbul Review. 17 25-48
Paper not yet in RePEc: Add citation now
Baruník, J. ; Křehlík, T. Measuring the frequency dynamics of financial connectedness and systemic risk. 2018 J. Financ. Econom.. 16 271-296
- Basher, S.A. ; Haug, A.A. ; Sadorsky, P. Oil prices, exchange rates and emerging stock markets. 2012 Energy Econ.. 34 227-240
Paper not yet in RePEc: Add citation now
Basher, S.A. ; Haug, A.A. ; Sadorsky, P. The impact of oil shocks on exchange rates: a Markov-switching approach. 2016 Energy Econ.. 54 11-23
Benlagha, N. ; El Omari, S. Connectedness of stock markets with gold and oil: new evidence from COVID-19 pandemic. 2022 Finance Res. Lett.. 46 -
Bhatia, P. Sustainability of exchange rates and crude oil prices connection with covid-19: an investigation for brics. 2021 Annals-Economy Series. 5 19-29
Boubaker, S. ; Sarea, A. ; Choudhury, T. Guest editorial: implications of the Russia–Ukraine conflict on the global financial markets. 2023 J. Risk Finance. 24 1-5
Bourghelle, D. ; Jawadi, F. ; Rozin, P. Oil price volatility in the context of Covid-19. 2021 International Economics. 167 39-49
Bouri, E. ; Demirer, R. ; Gupta, R. ; Pierdzioch, C. Infectious diseases, market uncertainty and oil market volatility. 2020 Energies. 13 4090-
Chen, S.S. ; Chen, H.C. Oil prices and real exchange rates. 2007 Energy Econ.. 29 390-404
Chen, Y. ; Wang, C. ; Zhu, Z. Toward the integration of European gas futures market under COVID-19 shock: a quantile connectedness approach. 2022 Energy Econ.. 114 -
Chowdhury, K.B. ; Garg, B. Has COVID-19 intensified the oil price–exchange rate nexus?. 2022 Econ. Anal. Pol.. 76 280-298
Cui, J. ; Maghyereh, A. Time–frequency co-movement and risk connectedness among cryptocurrencies: new evidence from the higher-order moments before and during the COVID-19 pandemic. 2022 Financial Innovation. 8 1-56
Czech, K. ; Niftiyev, I. The impact of oil price shocks on oil-dependent countries' currencies: the case of Azerbaijan and Kazakhstan. 2021 J. Risk Financ. Manag.. 14 431-
- Dairi, A. ; Harrou, F. ; Zeroual, A. ; Hittawe, M.M. ; Sun, Y. Comparative study of machine learning methods for COVID-19 transmission forecasting. 2021 J. Biomed. Inf.. 118 -
Paper not yet in RePEc: Add citation now
Diebold, F.X. ; Yilmaz, K. Better to give than to receive: predictive directional measurement of volatility spillovers. 2012 Int. J. Forecast.. 28 57-66
Diebold, F.X. ; Yilmaz, K. Measuring financial asset return and volatility spillovers, with application to global equity markets. 2009 Econ. J.. 119 158-171
Diebold, F.X. ; Yılmaz, K. On the network topology of variance decompositions: measuring the connectedness of financial firms. 2014 J. Econom.. 182 119-134
Ding, L. ; Vo, M. Exchange rates and oil prices: a multivariate stochastic volatility analysis. 2012 Q. Rev. Econ. Finance. 52 15-37
Donkor, R.A. ; Mensah, L. ; Sarpong-Kumankoma, E. Oil price volatility and US dollar exchange rate volatility of some oil-dependent economies. 2022 J. Int. Trade Econ. Dev.. 31 581-597
Elliott, G. ; Rothenberg, T.J. ; Stock, J.H. Efficient Tests for an Autoregressive Unit Root. 1992 :
- Englama, A. ; Duke, O.O. ; Ogunleye, T.S. ; Isma’il, F.U. Oil prices and exchange rate volatility in Nigeria: an empirical investigation. 2010 Cent. Bank Niger. Econ. Financ. Rev.. 48 31-48
Paper not yet in RePEc: Add citation now
Engle, R. Dynamic conditional correlation: a simple class of multivariate generalized autoregressive conditional heteroskedasticity models. 2002 J. Bus. Econ. Stat.. 20 339-350
Engle, R.F. ; Patton, A.J. What good is a volatility model. 2001 Quant. Finance. 1 237-245
Engle, R.F. ; Sheppard, K. Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH. 2001 :
- Gabauer, D. Volatility impulse response analysis for DCC‐GARCH models: the role of volatility transmission mechanisms. 2020 J. Forecast.. 39 788-796
Paper not yet in RePEc: Add citation now
- Gaio, L.E. ; Stefanelli, N.O. ; Júnior, T.P. ; Bonacim, C.A.G. ; Gatsios, R.C. The impact of the Russia-Ukraine conflict on market efficiency: evidence for the developed stock market. 2022 Finance Res. Lett.. 50 -
Paper not yet in RePEc: Add citation now
- García, S. ; Saucedo, E. ; Velasco, A. The effects of oil prices on the spot exchange rate (MXN/USD) a VAR analysis for Mexico from 1991 to 2017. 2018 Análisis Económico. 33 33-56
Paper not yet in RePEc: Add citation now
Grillini, S. ; Ozkan, A. ; Sharma, A. Static and dynamic liquidity spillovers in the Eurozone: the role of financial contagion and the Covid-19 pandemic. 2022 Int. Rev. Financ. Anal.. 83 -
He, C. ; Li, G. ; Fan, H. ; Wei, W. Correlation between Shanghai crude oil futures, stock, foreign exchange, and gold markets: a GARCH-vine-copula method. 2021 Appl. Econ.. 53 1249-1263
Huang, S. ; An, H. ; Lucey, B. How do dynamic responses of exchange rates to oil price shocks co-move? From a time-varying perspective. 2020 Energy Econ.. 86 -
Inacio, C.M.C. ; Kristoufek, L. ; David, S.A. Assessing the impact of the Russia–Ukraine war on energy prices: a dynamic cross-correlation analysis. 2023 Phys. Stat. Mech. Appl.. 626 -
Just, M. ; Echaust, K. Stock market returns, volatility, correlation and liquidity during the COVID-19 crisis: evidence from the Markov switching approach. 2020 Finance Res. Lett.. 37 -
Kathuria, V. ; Sabat, J. Is exchange rate volatility symmetric to oil price volatility? An investigation for India. 2020 J. Quant. Econ.. 18 525-550
Kilian, L. Not all oil price shocks are alike: disentangling demand and supply shocks in the crude oil market. 2009 Am. Econ. Rev.. 99 1053-1069
Koop, G. ; Pesaran, M.H. ; Potter, S.M. Impulse response analysis in nonlinear multivariate models. 1996 J. Econom.. 74 119-147
Korhonen, I. ; Juurikkala, T. Equilibrium exchange rates in oil-exporting countries. 2009 J. Econ. Finance. 33 71-79
Krugman, P. Oil shocks and exchange rate dynamics. 1983 En : Exchange Rates and International Macroeconomics. University of Chicago Press:
Kumari, V. ; Kumar, G. ; Pandey, D.K. Are the European Union stock markets vulnerable to the Russia–Ukraine war?. 2023 Journal of Behavioral and Experimental Finance. 37 -
Lizardo, R.A. ; Mollick, A.V. Oil price fluctuations and US dollar exchange rates. 2010 Energy Econ.. 32 399-408
Lu, X. ; Huang, N. ; Mo, J. ; Ye, Z. Dynamics of the return and volatility connectedness among green finance markets during the COVID-19 pandemic. 2023 Energy Econ.. 125 -
Maraqa, B. ; Bein, M. Dynamic interrelationship and volatility spillover among sustainability stock markets, major European conventional indices, and international crude oil. 2020 Sustainability. 12 3908-
Narayan, P.K. ; Narayan, S. Modelling oil price volatility. 2007 Energy Pol.. 35 6549-6553
- Olstad, A. ; Filis, G. ; Degiannakis, S. Oil and currency volatilities: Co‐movements and hedging opportunities. 2021 Int. J. Finance Econ.. 26 2351-2374
Paper not yet in RePEc: Add citation now
Pesaran, H.H. ; Shin, Y. Generalized impulse response analysis in linear multivariate models. 1998 Econ. Lett.. 58 17-29
Prabheesh, K.P. ; Kumar, S. The dynamics of oil prices, exchange rates, and the stock market under COVID-19 uncertainty: evidence from India. 2021 Energy Research Letters. 2 -
Raji, J.O. ; Abdulkadir, R.I. ; Badru, B.O. Dynamic relationship between Nigeria-US exchange rate and crude oil price. 2018 African J. Econ. Manag.. 9 213-230
Salisu, A.A. ; Cuñado, J. ; Isah, K. ; Gupta, R. Oil price and exchange rate behaviour of the BRICS. 2021 Emerg. Mark. Finance Trade. 57 2042-2051
Sokhanvar, A. ; Lee, C.C. How do energy price hikes affect exchange rates during the war in Ukraine?. 2023 Empir. Econ.. 64 2151-2164
- Syed, A.M. The impact of COVID-19 on GCC equity and debt markets: evidence from TVP-VAR estimation. 2022 Frontiers in Applied Mathematics and Statistics. 8 -
Paper not yet in RePEc: Add citation now
Tiwari, A.K. ; Albulescu, C.T. Oil price and exchange rate in India: fresh evidence from continuous wavelet approach and asymmetric, multi-horizon Granger-causality tests. 2016 Appl. Energy. 179 272-283
Tiwari, A.K. ; Trabelsi, N. ; Alqahtani, F. ; Bachmeier, L. Modelling systemic risk and dependence structure between the prices of crude oil and exchange rates in BRICS economies: evidence using quantile coherency and NGCoVaR approaches. 2019 Energy Econ.. 81 1011-1028
Tse, Y.K. ; Tsui, A.K.C. A multivariate generalized autoregressive conditional heteroscedasticity model with time-varying correlations. 2002 J. Bus. Econ. Stat.. 20 351-362
Wang, Y. ; Bouri, E. ; Fareed, Z. ; Dai, Y. Geopolitical risk and the systemic risk in the commodity markets under the war in Ukraine. 2022 Finance Res. Lett.. 49 -
- Wu, C.C. ; Chung, H. ; Chang, Y.H. The economic value of co-movement between oil price and exchange rate using copula-based GARCH models. 2012 Energy Econ.. 34 270-282
Paper not yet in RePEc: Add citation now
- Yi, A. ; Yang, M. ; Li, Y. Macroeconomic uncertainty and crude oil futures volatility–evidence from China crude oil futures market. 2021 Front. Environ. Sci.. 9 -
Paper not yet in RePEc: Add citation now
- Yıldırım, D.Ç. ; Erdoğan, F. ; Tarı, E.N. Time-varying volatility spillovers between real exchange rate and real commodity prices for emerging market economies. 2022 Resour. Pol.. 76 -
Paper not yet in RePEc: Add citation now
- Yousaf, I. Risk transmission from the COVID-19 to metals and energy markets. 2021 Resour. Pol.. 73 -
Paper not yet in RePEc: Add citation now
- Yousaf, I. ; Ali, S. The COVID-19 outbreak and high frequency information transmission between major cryptocurrencies: evidence from the VAR-DCC-GARCH approach. 2020 Borsa Istanbul Review. 20 S1-S10
Paper not yet in RePEc: Add citation now
Yousuf, M. ; Zhai, J. The financial interconnectedness between global equity markets and crude oil: evidence from the GCC. 2022 J. Chin. Econ. Bus. Stud.. 20 183-206
Zavadska, M. ; Morales, L. ; Coughlan, J. Brent crude oil prices volatility during major crises. 2020 Finance Res. Lett.. 32 -