dynamics of oil price volatility by examining interactions between oil market and exchange rate in selected MENA countries … January 1, 2001 to December 29, 2017, we implement the test for asymmetric non-causality of Hatemi-J (2012), the asymmetric …) to examine the presence of volatility spillover between oil prices and exchange rates return series. The econometric …

We analyze total, asymmetric and frequency connectedness between oil and forex markets using high-frequency, intra … with realized semivariances to account for asymmetric and frequency connectedness, we obtain interesting results. We show … that divergence in monetary policy regimes affects forex volatility spillovers but that adding oil to a forex portfolio …

volatility, namely, seasonality and maturity effects for the pre-financialisation (1993-2003) and post-financialisation (2004 … futures' volatility before the financialisation period, open interest as a measure of liquidity has a negative effect after ….e. volatility of the contract increases as it nears to expiration since financialisation. This confirms the importance of accounting …

markets do not have similar sensitivities to oil price changes. We document the presence of stock market returns' asymmetric … stock returns to oil price changes, especially with regard to the existence of asymmetric behavior. …

-skewness, and co-volatility contagion tests. Our analysis is applied to the oil-exchange rate and oil-stock market relationships of … and turbulent oil price volatility episodes with a non-hierarchical k-means clustering algorithm on volatility measures …

framework is suitable to analyse both mean and volatility spillovers, and also allows for possible parameter shifts resulting … food crisis and 2008 financial crisis leading to the most significant shifts in the (volatility) spillovers between the …

) analysis. Such restrictions are typically just-identifying but can be checked by utilizing changes in volatility. This paper … reviews and contrasts the volatility models that have been used for this purpose. Three main approaches have been used …, exogenously generated changes in the unconditional residual covariance matrix, changing volatility modelled by a Markov switching …