Analyzing time-frequency co-movements across gold and oil prices with BRICS stock markets : a VaR based on wavelet approach
Year of publication: |
2018
|
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Authors: | Mensi, Walid ; Hkiri, Besma ; Al-Yahyaee, Khamis Hamed ; Kang, Sang Hoon |
Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 54.2018, p. 74-102
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Subject: | BRICS | Co-movement | Commodity prices | Value at risk | Wavelet | BRICS-Staaten | BRICS countries | Ölpreis | Oil price | Zustandsraummodell | State space model | Risikomaß | Risk measure | Aktienmarkt | Stock market | Rohstoffpreis | Commodity price | VAR-Modell | VAR model | Volatilität | Volatility | Gold | Korrelation | Correlation | Welt | World | Zeitreihenanalyse | Time series analysis |
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