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The influence of oil price fluctuations on stock market of developing economies : a focus on Nigeria

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Moments, shocks and spillovers in Markov switching VAR models

Dijk, Dick van; Kole, Erik - 2021

innovations and the variables themselves. By formulating the MSVAR as an extended linear non-Gaussian VAR for the combination of …

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Moments, shocks and spillovers in Markov-switching VAR models

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An investigation of return-volatility relationship using high-frequency VKOSPI data

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Exchange rate volatility and foreign portfolio investment in Nigeria

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An econometric approach to incorporating non-normality in VaR measurement

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Oil prices and US stock prices

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Do VaR exceptions have seasonality? : an empirical study on Indian commodity spot prices

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Oil price shocks and the equity market : evidence for the S&P 500 sectoral indices

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