This article examines the volatility dependence between the crude oil price and four US dollar exchange rates using both fractional cointegration and copula techniques. The former exploits the long memory behavior of the volatility processes to investigate whether they are tied through a common...

This article examines the volatility dependence between the crude oil price and four US dollar exchange rates using both fractional cointegration and copula techniques. The former exploits the long memory behavior of the volatility processes to investi

Two integrated financial markets are generally subjected to common shocks revealing that commonalities in fundamentals drive the underlying return processes. In such a case, volatilities should share a long-run component although their transitory components might temporary diverge. Accordingly,...

This paper examines generalized purchasing power parity theory (G-PPP) among the ASEAN-5 countries. Implementing both the rank analysis and the regression-based analysis of the cointegrating system's, we identify several weak fractional cointegration relationships. Accordingly, cointegrating...