Volatility spillovers between oil prices and stock returns : a focus on frontier markets
Year of publication: |
2014
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Authors: | Gomes, Mathieu ; Chaibi, Anissa |
Published in: |
The journal of applied business research. - Littleton, Colo. : CIBER Research Inst., ISSN 0892-7626, ZDB-ID 1107555-7. - Vol. 30.2014, 2, p. 509-525
|
Subject: | Volatility Spillovers | Oil Prices | Stock Returns | Multivariate GARCH | Diversification | Frontier Markets | Ölpreis | Oil price | Volatilität | Volatility | Spillover-Effekt | Spillover effect | ARCH-Modell | ARCH model | Börsenkurs | Share price | Kapitaleinkommen | Capital income | Kapitalmarktrendite | Capital market returns | Welt | World | Schwellenländer | Emerging economies |
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