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• W2891553429 abstract "Abstract In this study, we investigate how the volatility index (VIX) and oil price influence the foreign exchange rate based on a conditional autoregressive value at risk model. We find that the oil price affects the value at risk (VaR) of exchange rates of oil-importing and oil-exporting countries differently. Further, the VIX as a volatility measure can only influence the tail risk of these currencies when the US financial market fluctuates significantly. In addition, we find that there is a significant increase in the volatility of the VaR of these currencies after the financial crisis. Our empirical results would provide useful information for investors." @default.
• W2891553429 created "2018-09-27" @default.
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• W2891553429 date "2019-01-01" @default.
• W2891553429 modified "2023-10-06" @default.
• W2891553429 title "Modeling the joint dynamic value at risk of the volatility index, oil price, and exchange rate" @default.
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• W2891553429 doi "https://doi.org/10.1016/j.iref.2018.08.014" @default.
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