Does Oil Prices Uncertainty Affect Stock Returns in Russia: A Bivariate GARCH-in-Mean Approach
<p>In this article, we explore the dependence of the volatility of stock returns and the world oil prices on the example of Russia. Using weekly data for the variables for the period from 01.01.2003 by 01.05.2017, we define the uncertainty of oil prices as the conditional standard deviation of...
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Format: | Article |
Language: | English |
Published: |
EconJournals
2017-09-01
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Series: | International Journal of Energy Economics and Policy |
Online Access: | https://www.econjournals.com/index.php/ijeep/article/view/5189 |