Time-varying correlation between oil and stock market volatilities : evidence from oil-importing and oil-exporting countries
Rustam Boldanov, Stavros Degiannakis, George Filis
| Year of publication: |
December 2016
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| Authors: | Boldanov, Rustam ; Degiannakis, Stavros ; Filis, George |
| Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 48.2016, p. 209-220
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| Subject: | Conditional volatility | Realized volatility | Time-varying correlation | Diag-BEKK | GARCH | Oil-importing countries | Oil-exporting countries | Volatilität | Volatility | ARCH-Modell | ARCH model | Ölpreis | Oil price | Korrelation | Correlation | Aktienmarkt | Stock market | Börsenkurs | Share price | Welt | World | Ölmarkt | Oil market | OPEC-Staaten | OPEC countries | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.irfa.2016.10.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011624489