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- W2079508179 abstract "This paper investigates dynamic between oil markets and RMB non-deliverable forwards (NDF) markets. The analysis is carried out through the dynamic conditional correlation (DCC) model of Engle and Sheppard (2001). We find that the rising of international oil price return leads to the decline of RMB nominal exchange rate return. This paper uses FDCC-MVGARCH model of the block-diagonal structure to analyse the dynamic correlation between international oil price and RMB non-deliverable forwards, and the correlation between RMB NDFs of CME and that of Hong Kong. The correlation between international oil price and RMB NDFs is more than 43 times of that between international oil price and RMB nominal exchange rate. There is a strong correlation between the RMB NDFs returns of CME and that of HSBC Hong Kong." @default.
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- W2079508179 date "2014-01-01" @default.
- W2079508179 modified "2023-09-23" @default.
- W2079508179 title "Dynamic correlations in international oil and RMB non-deliverable forwards markets" @default.
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- W2079508179 doi "https://doi.org/10.1504/ijbcrm.2014.066156" @default.
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