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Were oil price markets the source of credit crisis in European countries? : evidence using a VAR-MGARCH-DCC model

Selmi, Nadhem; Hachicha, Nejib - In: International Journal of Energy Economics and Policy : IJEEP 4 (2014) 2, pp. 169-177

Persistent link: https://www.econbiz.de/10011286263

Dependence between oil price volatility, Islamic and conventional Dow Jones indexes : implication for portfolio management and hedging effectiveness

Fakhfekh, Mohamed; Ghorbel, Ahmed; Selmi, Nadhem; … - In: The journal of asset management 18 (2017) 1, pp. 29-48

Persistent link: https://www.econbiz.de/10011592759

Were Oil Price Markets the Source of Credit Crisis in European Countries? Evidence Using a VAR-MGARCH-DCC Model

Selmi, Nadhem; Hachicha, Nejib - In: International Journal of Energy Economics and Policy 4 (2014) 2, pp. 169-177

This paper examines the role of oil prices, credit, financial and commercial linkages in the propagation of industrial market crises during the period 2004-2012. Using VAR-MGARCH-DCC model regressions on seven markets finds that credit linkage played a significant role in the subprime, financial...

Persistent link: https://www.econbiz.de/10010756196