Charlot, Philippe; Marimoutou, Vêlayoudom - In: Energy Economics 44 (2014) C, pp. 456-467
This study examines the volatility and correlation and their relationships among the euro/US dollar exchange rates, the S&P500 equity indices, and the prices of WTI crude oil and the precious metals (gold, silver, and platinum) over the period 2005 to 2012. Our model links the univariate...