Oil shock transmission to stock market returns: Wavelet-multivariate Markov switching GARCH approach
By Rania Jammazi. 2012
111 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Electrical and Electronic Engineering
View Paper: https://www.semanticscholar.org/paper/f11cdf8fbdab71b64572996cc50e4c246cf91429
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Kaijian He
- P. Moya-Martínez
- Francisco Escribano-Sotos
- Dimitrios Stafylas
- Roman Ferrer-Lapeña
- Rui Zha
- Lean Yu
- Jia Liu
In Electrical and Electronic Engineering
- P. Moya-Martínez
- Francisco Escribano-Sotos
- Dimitrios Stafylas
- Roman Ferrer-Lapeña
- Kaijian He
- Rui Zha
- Lean Yu
- Jia Liu
Citations in the corpus
- Dependences and volatility spillovers between the oil and stock markets: New evidence from the copula and VAR-BEKK-GARCH models (2020, methodology): “12, to improve the accuracy of our forecasts, as suggested by Jayasinghe et al (2014) and Mensi et al (2014).”
- Oil price risk in the Spanish stock market: An industry perspective (2014, result): “This break date is very close to those found by Miller and Ratti (2009) and Jammazi and Aloui (2010) for a set of major developed countries.”