On the impacts of oil price fluctuations on European equity markets : volatility spillover and hedging effectiveness
Year of publication: |
2012
|
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Authors: | Arouri, Mohamed ; Jouini, Jamel ; Nguyen, Duc Khuong |
Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 34.2012, 2, p. 611-617
|
Subject: | Sector returns | Oil prices | Hedge ratios | VAR-GARCH models | Ölpreis | Oil price | Volatilität | Volatility | Hedging | ARCH-Modell | ARCH model | Spillover-Effekt | Spillover effect | Börsenkurs | Share price | Kapitaleinkommen | Capital income | Schätzung | Estimation |
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