dynamics of oil price volatility by examining interactions between oil market and exchange rate in selected MENA countries …) to examine the presence of volatility spillover between oil prices and exchange rates return series. The econometric … rates, and ii) there is significant evidence of volatility spillovers from oil markets to exchange rate markets in the …

contagion spillover volatility by focusing on a sample of major oil-exporting and oil-importing countries using daily data from …; during COVID-19; and during the Russian‒Ukrainian war. Our results confirm the persistence of volatility for the series … volatility transmission between oil prices and exchange-rate markets. However, the COVID-19 pandemic and the Russian …

contagion spillover volatility by focusing on a sample of major oil-exporting and oil-importing countries using daily data from …; during COVID-19; and during the Russian-Ukrainian war. Our results confirm the persistence of volatility for the series … volatility transmission between oil prices and exchange-rate markets. However, the COVID-19 pandemic and the Russian …

alternative models of constant and time-varying volatility based on the accuracy of point and density forecasts of real oil prices … models with respectively, constant volatility and two forms of time-varying volatility: GARCH and stochastic volatility. In … addition to the standard time-varying models, more flexible models with volatility in mean and moving average innovations are …

Previous sharp oil price declines have been accompanied by elevated ex-post volatility. In contrast, volatility was … declines. This finding is robust to using both descriptive and GARCH measures of volatility. Further, the U.S. dollar … appreciation exerted a strong influence on volatility during the recent crash; in contrast, the impact of equity market shocks was …

The paper investigates whether oil price shocks and oil price volatility provide predictive information for the state … of the US stock market returns and volatility. The disaggregation of oil price shocks according to their origin allows us … to assess whether they contain incremental forecasting power on the state of the stock market returns and volatility, a …

-dependencies, such as a declining relationship of gold to equity volatility. Consistent strong relationships can be identified for the …

This paper explores the evolving relationship in the volatility of sovereign yields in the European Economic and …-2010 period. In a first step, we decompose volatility in permanent and transitory components using Engel and Lee (1999)'s … bond-yield volatility than shocks to the underlying fundamentals. In a second step, we develop a correlation and causality …