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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| Huvudupphov: | , , |
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| Materialtyp: | Artigo |
| Språk: | Inglês |
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MDPI AG
2022-10-01
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| Serie: | Mathematics |
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| Länkar: | https://www.mdpi.com/2227-7390/10/21/4035 |
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