Shock and volatility transmission between oil prices and stock returns: case of oil-importing and oil-exporting countries / Nurul Nazurah Atu
This study employs BEKK-GARCH and VAR-GARCH models to examine shock and volatility transmission between oil prices and stock return in oil-importing and oilexporting countries, include the United States, China, Saudi Arabia, Malaysia and the Brent oil market. The data series uses daily, weekly and m...
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| Main Author: | |
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| Format: | Thesis |
| Language: | English |
| Published: |
2018
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| Online Access: | https://ir.uitm.edu.my/id/eprint/84269/1/84269.pdf |
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