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Nonlinear Contagion and Causality Nexus between Oil, Gold, VIX Investor Sentiment, Exchange Rate and Stock Market Returns: The MS-GARCH Copula Causality Method

The fluctuations in oil have strong implications on many financial assets not to mention its relationship with gold prices, exchange rates, stock markets, and investor sentiment. Recent evidence suggests nonlinear contagion among the factors stated above with bivariate or trivariate settings and a t...

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Uloženo v:
Hlavní autoři: Melike E. Bildirici, Memet Salman, Özgür Ömer Ersin
Médium: Artigo
Jazyk:Inglês
Vydáno: MDPI AG 2022-10-01
Edice:Mathematics
Témata:
copulas
Markov processes
GARCH
tail inference
financial markets
On-line přístup:https://www.mdpi.com/2227-7390/10/21/4035
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