Oil price shocks, equity markets, and contagion effect in OECD countries
This paper revisits the dynamic linkages between the Brent oil market and OECD stock markets. Econometrically, we use a multivariate corrected dynamic conditional correlation fractionally integrated asymmetric power ARCH (c-DCC-FIAPARCH) process, controlling main financial time-series features such...
| Main Authors: | , , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Università Carlo Cattaneo LIUC
2020-12-01
|
| Series: | The European Journal of Comparative Economics |
| Subjects: | |
| Online Access: | http://ejce.liuc.it/18242979202002/182429792020170201.pdf |