Oil Shock Transmission to Stock Market Returns: Wavelet Multivariate Markov Switching GARCH Approach

Rania Jammazi

No 2014-197, Working Papers from Department of Research, Ipag Business School

Abstract: In recent years our understanding of the nature of crude oil price shocks and their effects on the stock market returns has evolved noticeably. Evidence on spillover effects between several kinds of markets has widely been discussed around the globe whe

Keywords: Trivariate BEKK-Markov Switching; wavelet decomposition; oil shocks; stock markets. (search for similar items in EconPapers)
Pages: 19 pages
Date: 2014-01-01
New Economics Papers: this item is included in nep-ene and nep-ger
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Citations: View citations in EconPapers (36)

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Related works:
Journal Article: Oil shock transmission to stock market returns: Wavelet-multivariate Markov switching GARCH approach (2012)
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