Jammazi, Rania; Nguyen, Duc Khuong - Institut de Préparation à l'Administration et à la … - 2014
We propose an enhanced regime-switching model to investigate the relationships between oil price surges and stock market cycles in five oil-dependent countries over the period from January 1989 to December 2007. Our model accounts for the joint effects of the WTI (West Texas Intermediate) and...