Time-varying predictability of oil market movements over a century of data : The role of US financial stress
Rangan Gupta, Patrick Kanda, Aviral Kumar Tiwari, Mark E. Wohar
| Year of publication: |
2019
|
|---|---|
| Authors: | Gupta, Rangan ; Kanda, Patrick ; Tiwari, Aviral Kumar ; Wohar, Mark E. |
| 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. 50.2019, p. 1-11
|
| Subject: | DCC-MGARCH | Realized volatility | US financial stress index | WTI oil returns | Volatilität | Volatility | Ölmarkt | Oil market | Ölpreis | Oil price | Finanzkrise | Financial crisis | Finanzmarkt | Financial market | Prognoseverfahren | Forecasting model | Schätzung | Estimation | USA | United States | Kapitaleinkommen | Capital income | Welt | World | Aktienindex | Stock index |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2019.100994 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012201357