Impact of Oil Shocks on Us Dollar Exchange Rate Volatility: Garch-Midas Touch

Transmission of risks between energy and agricultural commodities: Frequency time-varying VAR, asymmetry and portfolio management

“…In this sense, future research may need to use new and updated data, which would be used to examine the relationship of long memory cointegration to quantile connectedness of paired variables of energy to commodity in order to deduce if cointegration and connectedness are related, and further check if the strength of cointegration depends on bearish, bullish or normal market conditions (see Ajao et al, 2022;Gil-Alana & Yaya, 2014;Tiwari et al, 2022;Adekoya et al, 2022b). Researchers may also conduct similar research after the end of the Russia-Ukraine conflict.…”