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The nexus between oil and airline stock returns : does time frequency matter?

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Dynamic volatility spillover effects between oil and agricultural products

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Exploiting the heteroskedasticity in measurement error to improve volatility predictions in oil and biofuel feedstock markets

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The Nexus between Oil and Airline Stock Returns : Does Time Frequency Matter?

Asadi, Mehrad; Pham, Son Duy; Nguyen, Thao T.T; Do, … - 2022

This paper investigates the relationship between oil and airline stock returns under different time frequencies. First, we propose an Autoregressive moving average model with mixed frequency exogenous variable to analyse the different impacts of oil on airline stock returns on daily, weekly, and...

Persistent link: https://www.econbiz.de/10014080026