Global financial crisis and co-movements between oil prices and sector stock markets in Saudi Arabia: A VaR based wavelet
This paper examines the portfolio risk management and dynamic co-movements between crude oil and Saudi sector stock markets using wavelet approach and a Value at Risk measure. The results show significant co-movements between crude oil and stock sectoral markets over time and across frequencies. Mor...
| Main Author: | |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2019-03-01
|
| Series: | Borsa Istanbul Review |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2214845017301400 |