Wavelet-based evidence of the impact of oil prices on stock returns
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DOI: 10.1016/j.iref.2013.05.014
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More about this item
Keywords
Wavelet decomposition; Oil prices; Stock prices; Contagion; Interdependence;JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G01 - Financial Economics - - General - - - Financial Crises
- Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General
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