Analyzing time-frequency co-movements across gold and oil prices with BRICS stock markets : a VaR based on wavelet approach
Walid Mensi, Besma Hkiri, Khamis H. Al-Yahyaee, Sang Hoon Kang
| Year of publication: |
2018
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|---|---|
| Authors: | Mensi, Walid ; Hkiri, Besma ; Al-Yahyaee, Khamis Hamed ; Kang, Sang Hoon |
| Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 54.2018, p. 74-102
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| Subject: | BRICS | Co-movement | Commodity prices | Value at risk | Wavelet | Ölpreis | Oil price | BRICS-Staaten | BRICS countries | Zustandsraummodell | State space model | Risikomaß | Risk measure | Aktienmarkt | Stock market | Rohstoffpreis | Commodity price | VAR-Modell | VAR model | Korrelation | Correlation | Volatilität | Volatility | Gold | Welt | World | Zeitreihenanalyse | Time series analysis | Preiskonvergenz | Price convergence |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.iref.2017.07.032 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012033348