2022
DOI: 10.20944/preprints202205.0265.v1
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Nonlinear Dependence and Spillovers between Currency Markets and Global Financial Market Variables

Abstract: The widespread integration and growing dependence among currency, stock and commodity markets make these markets often very vulnerable to shocks and at risk of collapse at the same time. As a result, these trends threaten the sustainability of the entire financial system. In this study, we explore the spillovers and nonlinear dependences between the seven major foreign ex-change rates, crude oil and gold prices, a global stock price index, and oil and stock implied volatility indices as proxy variables for glo… Show more

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