Impact of oil price risk on sectoral equity markets : implications on portfolio management
Year of publication: |
May 2018
|
---|---|
Authors: | Tiwari, Aviral Kumar ; Jena, Sangram Keshari ; Mitra, Amarnath ; Yoon, Seong-min |
Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 72.2018, p. 120-134
|
Subject: | Asymmetric quantile regression | Contagion | Interdependency | Oil price shocks | Tail risk | Frequency domain causality | Ölpreis | Oil price | Portfolio-Management | Portfolio selection | Volatilität | Volatility | Aktienmarkt | Stock market | Kapitaleinkommen | Capital income | Schätzung | Estimation | Risiko | Risk | ARCH-Modell | ARCH model | Schock | Shock | Risikomaß | Risk measure | Börsenkurs | Share price | Kausalanalyse | Causality analysis |
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