Relationship between oil, stock prices and exchange rates : a vine copula based GARCH method
Year of publication: |
July 2016
|
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Authors: | Aloui, Riadh ; Ben Aïssa, Mohamed Safouane |
Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 37.2016, p. 458-471
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Subject: | Vine copulas | Dependence measures | Crude oil price | Stock index | Exchange rate | Wechselkurs | Börsenkurs | Share price | Multivariate Verteilung | Multivariate distribution | Ölpreis | Oil price | ARCH-Modell | ARCH model | Welt | World | Aktienindex | Kointegration | Cointegration | Volatilität | Volatility |
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