Time-frequency causality and dependence structure between crude oil, EPU and Chinese industry stock : evidence from multiscale quantile perspectives
Huiming Zhu, Yiwen Chen, Yinghua Ren, Zhanming Xing, Liya Hau
| Year of publication: |
2022
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|---|---|
| Authors: | Zhu, Huiming ; Chen, Yiwen ; Ren, Ying-hua ; Xing, Zhanming ; Hau, Liya |
| 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. 61.2022, p. 1-46
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| Subject: | Causality-in-quantiles | Crude oil | Economic policy uncertainty | Quantile-on-quantile regression | Stock returns | Time-frequency effect | China | Schätzung | Estimation | Erdöl | Petroleum | Ölpreis | Oil price | Börsenkurs | Share price | Erdölindustrie | Oil industry | Kapitaleinkommen | Capital income | Kausalanalyse | Causality analysis | Wirtschaftspolitik | Economic policy | Kapitalmarktrendite | Capital market returns |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2022.101698 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013449362