The effects of crude oil shocks on stock market shifts behaviour: A regime switching approach

Energy Economics

Volumn 31, Issue 5, 2009, Pages 789-799

  Aloui, Chaker ^a   Jammazi, Rania ^a  

^a UNIVERSITY OF TUNIS EL MANAR   (Tunisia)

Author keywords

International crises; Markov switching EGARCH model; Oil shocks; Stock markets

Indexed keywords

BANKING AND FINANCE; CRUDE OIL; EGARCH MODELS; INTEREST RATES; INTERNATIONAL CRISES; MARKOV-SWITCHING EGARCH MODEL; OIL PRICES; OIL SHOCKS; REAL STOCK RETURNS; REGIME SWITCHING; STOCK MARKET; STOCK MARKETS; STOCK RETURNS; TWO-REGIME;

CRUDE PETROLEUM; SWITCHING;

COMMERCE;

CAPITAL FLOW; COMMODITY MARKET; CRUDE OIL; INTEREST RATE; MARKOV CHAIN; NUMERICAL MODEL; STOCK MARKET;

ASIA; EURASIA; EUROPE; FAR EAST; FRANCE; JAPAN; UNITED KINGDOM; WESTERN EUROPE;

EID: 67650726839     PISSN: 01409883     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.eneco.2009.03.009     Document Type: Article

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