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Reboredo, 2010 - Google Patents

Nonlinear effects of oil shocks on stock returns: a Markov-switching approach

Reboredo, 2010

Document ID
5435954013130305473
Author
Reboredo J
Publication year
Publication venue
Applied Economics

External Links

Snippet

Using Markov-switching models, we investigate whether oil price shocks have nonlinear effects on stock returns. Empirical evidence from a set of international stock indexes suggests that an increase in oil prices has a negative and significant impact on stock prices …
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    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
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