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Christophe, Rault ; Ridha, Nouira ; Thouraya Hadj, Amor ; Christophe, Rault. (2019) Oil price fluctuations and exchange rate dynamics in the MENA region: Evidence from non-causality-in-variance and asymmetric non-causality tests.
In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:73:y:2019:i:c:p:159-171.

Full description at Econpapers

cites:

Nakatani, T. ; Teräsvirta, T. An alternative test for causality in variance in the conditional correlation GARCH models. 2010 Mimeo, Stockholm School of Economics:

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