Volatility spillovers between oil prices and the stock market under structural breaks
Year of publication: |
2016
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Authors: | Ewing, Bradley T. ; Malik, Farooq |
Published in: |
Global finance journal. - Amsterdam [u.a.] : Elsevier Inc., ISSN 1044-0283, ZDB-ID 1117243-5. - Vol. 29.2016, p. 12-23
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Subject: | Volatility spillover | Oil volatility | Stock market volatility | Structural breaks | GARCH | Volatilität | Volatility | Ölpreis | Oil price | Strukturbruch | Structural break | ARCH-Modell | ARCH model | Spillover-Effekt | Spillover effect | Börsenkurs | Share price | Aktienmarkt | Stock market | Schätzung | Estimation |
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