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

  • Rania Jammazi

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

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Paper provided by Department of Research, Ipag Business School in its series Working Papers with number 2014-197.

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Length: 19 pages
Date of creation: 01 Jan 2014
Date of revision:
Handle: RePEc:ipg:wpaper:2014-197
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