Oil shock transmission to stock market returns: Wavelet-multivariate Markov switching GARCH approach
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- Rania Jammazi, 2014. "Oil Shock Transmission to Stock Market Returns: Wavelet Multivariate Markov Switching GARCH Approach," Working Papers 2014-197, Department of Research, Ipag Business School.
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More about this item
KeywordsTrivariate BEKK-Markov switching; Wavelet decomposition; Oil shocks; Stock markets;
StatisticsAccess and download statistics
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