This paper proposes a new class of nonlinear interval models for interval-valued time series (ITS). By matching the interval model with interval observations, we develop a nonlinearminimum-distance estimation method for the proposed models, and establish the asymptotictheory for the proposed...

The assumption that market efficiency informs the pricing of oil stocks is critical to understanding the co-movement between stock markets and oil markets. To test this assumption in relation to various types of real oil price changes, this article proposes a two-stage analysis method that...

This paper reinvestigates the predictability of equity market index returns of Chinese Shanghai Stock Exchange Composite index (SSEC) using the changes in oil prices. We find significant oil effect on the predictability of SSEC returns after the year 2003. The effect can neither be explained by...