Estimating volatility transmission between oil prices and the US Dollar exchange rate under structural breaks

This study examines volatility dynamics of oil prices and the US dollar exchange rate using univariate and bivariate GARCH models using data from January 2, 2000 to December 31, 2015. The modified iterative cumulative sum of square (ICSS) algorithm is employed to identify structural breaks in the variance of the two return series. I find no evidence of volatility transmission between oil prices and the US dollar exchange rate if structural...