Spillover and portfolio analysis for oil and stock market: A new insight across financial crisis, COVID-19 and Russian-Ukraine war
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DOI: 10.1016/j.resourpol.2023.103645
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- Wang, Bo & Xiao, Yang, 2024. "Measuring spatial impacts and tracking cross-border risk," International Review of Economics & Finance, Elsevier, vol. 92(C), pages 50-84.
- Aziz, Ghazala & Sarwar, Suleman & Yuan, Qiong & Waheed, Rida & Morales, Lucía, 2024. "Reinvestigating the role of oil and gold for portfolio optimization in view of COVID-19 and structural breaks: Empirical evidence of BEKK, DCC and wavelet quantile based estimations," Resources Policy, Elsevier, vol. 92(C).
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- Asafo-Adjei, Emmanuel & Tiwari, Aviral Kumar & Abakah, Emmanuel Joel Aikins & Lee, Chi-Chuan, 2024. "Risk synchronization in Australia stock market: A sector analysis," International Review of Economics & Finance, Elsevier, vol. 93(PA), pages 582-610.
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More about this item
Keywords
Volatility spillovers; GARCH model; Hedge ratios; Crisis; COVID-19; Russia-Ukraine war;All these keywords.
JEL classification:
- F65 - International Economics - - Economic Impacts of Globalization - - - Finance
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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