Identifying asymmetric responses of sectoral equities to oil price shocks in a NARDL model
Year of publication: |
2021
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Authors: | Dhaoui, Abderrazak ; Chevallier, Julien ; Ma, Feng |
Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 25.2021, 2, Art.-No. 20190066, p. 1-19
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Subject: | nonlinear ARDL | oil price shocks | sector stock returns | transmission channels | Ölpreis | Oil price | Kapitaleinkommen | Capital income | Schock | Shock | Volatilität | Volatility | ARCH-Modell | ARCH model | Kapitalmarktrendite | Capital market returns | Schätzung | Estimation | Kointegration | Cointegration |
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