Mutual excitation between OECD stock and oil markets : a conditional intensity extreme value approach
Rodrigo Herrera, Sergio González, Adam Clements
| Year of publication: |
2018
|
|---|---|
| Authors: | Herrera, Rodrigo ; González, Sergio ; Clements, Adam |
| Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 46.2018, p. 70-88
|
| Subject: | Extreme value theory | Financial markets | Interdependence | Oil markets | Value at risk | Ölmarkt | Oil market | Risikomaß | Risk measure | Ausreißer | Outliers | Finanzmarkt | Financial market | Aktienmarkt | Stock market | Volatilität | Volatility | ARCH-Modell | ARCH model | Kapitaleinkommen | Capital income | OECD-Staaten | OECD countries |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2018.03.010 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012036606