DOES WTI OIL PRICE RETURNS VOLATILITY SPILLOVER TO THE EXCHANGE RATE AND STOCK INDEX IN THE US?
The purpose of this paper is to examine whether the volatility of the West Texas Intermediate oil spot returns (WTIR) is affected by the Texas Light Sweet oil futures returns (FUR), the exchange rate returns between the US dollar and the Euro (ERR), and the S&P 500 energy index returns (EIR), an...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
EconJournals
2014-04-01
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| Series: | International Journal of Energy Economics and Policy |
| Online Access: | http://econjournals.com/index.php/ijeep/article/view/706/427 |