A wavelet analysis of mean and volatility spillovers between oil and BRICS stock markets
Year of publication: |
May 2017
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Authors: | Boubaker, Heni ; Raza, Syed Ali |
Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 64.2017, p. 105-117
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Subject: | Contagion effect | Oil price changes | BRICS stock market | Volatility spillovers | Wavelet coherence | Hedge ratio | Volatilität | Volatility | Spillover-Effekt | Spillover effect | Ölpreis | Oil price | BRICS-Staaten | BRICS countries | Aktienmarkt | Stock market | ARCH-Modell | ARCH model | Börsenkurs | Share price | Zustandsraummodell | State space model | Hedging |
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