Oil and stock returns : evidence from European industrial sector indices in a time-varying environment
Stavros Degiannakisa; George Filis; Christos Floros
| Year of publication: |
2013
|
|---|---|
| Authors: | Degiannakisa, Stavros ; Filis, George ; Floros, Christos |
| Published in: |
Journal of international financial markets, institutions & money. - Amsterdam : Elsevier, ISSN 1042-4431, ZDB-ID 1117317-8. - Vol. 26.2013, p. 175-191
|
| Subject: | Diag-VECH GARCH | Dynamic correlation | Multivariate heteroskedastic framework | Oil price returns | Oil price shocks | Stock market sectors | Ölpreis | Oil price | ARCH-Modell | ARCH model | Kapitaleinkommen | Capital income | Börsenkurs | Share price | Korrelation | Correlation | Volatilität | Volatility | Aktienmarkt | Stock market | Kapitalmarktrendite | Capital market returns | Schätzung | Estimation | Zeitreihenanalyse | Time series analysis | Kointegration | Cointegration |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010234924