Does international oil volatility have directional predictability for stock returns? : evidence from BRICS countries based on cross-quantilogram analysis
Year of publication: |
2019
|
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Authors: | Zhou, Zhongbao ; Jiang, Yong ; Liu, Yang ; Lin, Ling ; Liu, Qing |
Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 80.2019, p. 352-382
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Subject: | BRICS countries | Cross-quantilogram | Directional predictability | Oil volatility | Quantile dependence | Stock returns | Volatilität | Volatility | BRICS-Staaten | Kapitaleinkommen | Capital income | Prognoseverfahren | Forecasting model | Börsenkurs | Share price | Welt | World |
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