Oil prices and stock markets: Does the effect of uncertainty change over time?
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DOI: 10.1016/j.eneco.2016.10.017
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More about this item
Keywords
Crude oil returns; Stock returns; Oil uncertainty; Bivariate GARCH-in-Mean model; Time-varying parameter;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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