Does international oil volatility have directional predictability for stock returns? : evidence from BRICS countries based on cross-quantilogram analysis
Zhongbao Zhou, Yong Jiang, Yan Liu, Ling Lin, Qing Liu
| 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 |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econmod.2018.11.021 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012200710