Crude Oil Price and Exchange Rate Nexus: An Ardl Bound Approach
نویسندگان
چکیده
منابع مشابه
Crude Oil Price Determinants
Based on monthly observations, I specify an econometric model capturing the driving forces behind the crude oil price series in recent years. A large set of covariates, such as supply and demand variables as well as futures market variables, is used to test the impact on the crude oil price. Current price movements are a result of scarce refining capacity and speculators betting on higher price...
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The crude oil prices as well as the effective exchange rate of the dollar are both time series and non -stationary as well. In this paper, we investigate the relationship between real effective exchange rate and crude oil prices by hybrid wavelet network. We use a simple Multi-layer Perceptron Neural Network (MLPNN) based wavelet decomposition to analyse the relatio nship between real effective...
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We use high-frequency intra-day realized volatility to evaluate the relative forecasting performance of several models for the volatility of crude oil daily spot returns. Our objective is to evaluate the predictive ability of time-invariant and Markov switching GARCH models over different horizons. Using Carasco, Hu and Ploberger (2014) test for regime switching in the mean and variance of the ...
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ژورنال
عنوان ژورنال: OALib
سال: 2020
ISSN: 2333-9721,2333-9705
DOI: 10.4236/oalib.1106072