Instability and time-varying dependence structure between oil prices and stock markets in GCC countries
Year of publication: |
2013-09-25
|
---|---|
Authors: | Boubaker, Heni ; Sghaier, Nadia |
Institutions: | Institut de Préparation à l'Administration et à la Gestion (IPAG) |
Subject: | oil price changes | stock market returns | Archimedean copulas | asymmetric dependence structure | change point testing method | contagion effect |
-
A wavelet analysis of mean and volatility spillovers between oil and BRICS stock markets
Boubaker, Heni, (2017)
-
Correlations between oil and stock markets : a wavelet-based approach
Martín-Barragán, Belén, (2015)
-
Van Der Westhuizen, Chevaughn, (2022)
- More ...
-
Boubaker, Heni, (2014)
-
Semiparametric Generalized Long Memory Modelling of GCC Stock Market Returns: A Wavelet Approach
Boubaker, Heni, (2014)
-
Modelling Return and Volatility of Oil Price using Dual Long Memory Models
BOUBAKER, Heni, (2014)
- More ...