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Economic significance of oil price changes on Russian and Chinese stock markets

Soucek, Michael; Todorova, Neda - In: Applied financial economics 23 (2013) 7/9, pp. 561-571

Persistent link: https://www.econbiz.de/10009750705

Crude oil shocks and stock market returns

Odusami, Babatunde Olatunji - In: Applied financial economics 19 (2009) 4/6, pp. 291-303

Persistent link: https://www.econbiz.de/10003828474

Precious metal markets, stock markets and the macroeconomic environment : FAVAR model approach

Apergēs, Nikolaos; Christou, Christina; Payne, James E. - In: Applied financial economics 24 (2014) 10/12, pp. 691-703

Persistent link: https://www.econbiz.de/10010402658

Regime-dependent relationships among the stock markets of the US, Australia and New Zealand : a Markov-switching VAR approach

Qiao, Zhuo; Li, Yuming; Wong, Wing Keung - In: Applied financial economics 21 (2011) 22/24, pp. 1831-1841

Persistent link: https://www.econbiz.de/10009384755

Tranquil and crisis windows, heteroscedasticity, and contagion measurement : MS-VAR application of the DCC procedure

Pontines, Victor; Siregar, Reza Yamora - In: Applied financial economics 19 (2009) 7/9, pp. 745-752

The key objective of this study is to show that two potential shortcomings of the Determinant of Change in Covariance (DCC) matrix procedure of Rigobon (2003), namely with the arbitrary determination of the windows, i.e. tranquil and crisis periods and the violation of its heteroscedasticity...

Persistent link: https://www.econbiz.de/10003842735