Modeling Volatility Spillovers Between Stock Returns, Oil Prices, And Exchange Rates: Evidence from Russia and China
نویسندگان
چکیده
This study investigates the interdependence between crude oil fluctuations and stock return dynamics of major BRICS market returns namely China Russia, over last turbulent period ranging from September 2001 to March 2019. We used a VAR-GARCH model that allows for simultaneous spillover in volatility return, under Student’s t- distribution. In addition prices, foreign exchange rates are so included strengthen its explanatory power. The
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ژورنال
عنوان ژورنال: Örgütsel Davran?? Ara?t?rmalar? Dergisi
سال: 2021
ISSN: ['2528-9705']
DOI: https://doi.org/10.51847/9otkgoxkel