Oil price effect on sectoral stock returns: A conditional covariance and correlation approach for Mexico
This paper analyzes the relationship between the volatility of oil price and selected sectoral stock returns in Mexico (industrials, materials, financials and consumer discretionary) by implementing a Diagonal VECH-type bivariate GARCH model in order to estimate conditional covariances and correlati...
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| Veröffentlicht in: | Revista Mexicana de Economía y Finanzas. Nueva Época / Mexican Journal of Economics and Finance |
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| Hauptverfasser: | , |
| Format: | Artigo |
| Sprache: | Inglês |
| Veröffentlicht: |
Instituto Mexicano de Ejecutivos de Finanzas A.C.
2021
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| Schlagworte: | |
| Online-Zugang: | https://www.redalyc.org/articulo.oa?id=423770370005 https://www.redalyc.org/journal/4237/423770370005/ https://www.redalyc.org/journal/4237/423770370005/html/ https://www.redalyc.org/journal/4237/423770370005/423770370005.epub https://www.redalyc.org/journal/4237/423770370005/movil |
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