Oil price shocks and stock return volatility : new evidence based on volatility impulse response analysis
Year of publication: |
2018
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Authors: | Eraslan, Sercan ; Ali, Faek Menla |
Published in: |
Economics letters. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1765, ZDB-ID 717210-2. - Vol. 172.2018, p. 59-62
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Subject: | Oil price shocks | Stock returns | Volatility impulse response analysis | Ölpreis | Oil price | Volatilität | Volatility | Kapitaleinkommen | Capital income | Kapitalmarktrendite | Capital market returns | Schock | Shock | Zeitreihenanalyse | Time series analysis | VAR-Modell | VAR model | ARCH-Modell | ARCH model | Börsenkurs | Share price |
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