Oil and stock returns : evidence from European industrial sector indices in a time-varying environment
Year of publication: |
2013
|
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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
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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 | Korrelation | Correlation | Aktienmarkt | Stock market | Kapitaleinkommen | Capital income | Volatilität | Volatility | Ölmarkt | Oil market | Kapitalmarktrendite | Capital market returns | VAR-Modell | VAR model |
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