Demiralay, Sercan; Gencer, Hatice Gaye - In: International Journal of Energy Economics and Policy 4 (2014) 3, pp. 442-447
This paper investigates the mechanisms of return and volatility transmissions between oil prices and five emerging market sector returns. For the empirical method, we utilize a recent and novel technique: Vector Autoregressive-Asymmetric GARCH (VAR-AGARCH) model. We find some significant cross...