Return and volatility spillover between sectoral stock and oil price : evidence from Pakistan stock exchange
Year of publication: |
June 2017
|
---|---|
Authors: | Malik, Muhammad Irfan ; Rashid, Abdul |
Published in: |
Annals of financial economics. - Hackensack, NJ [u.a.] : World Scientific, ISSN 2010-4952, ZDB-ID 2732467-9. - Vol. 12.2017, 2, p. 1-22
|
Subject: | Pakistan stock exchange | brent | VAR-AGARCH | spillover | portfolio | hedging | Pakistan | Volatilität | Volatility | Spillover-Effekt | Spillover effect | Aktienmarkt | Stock market | Börse | Bourse | ARCH-Modell | ARCH model | Kapitaleinkommen | Capital income | Ölpreis | Oil price | Hedging | Portfolio-Management | Portfolio selection |
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