Spillover effect and Granger causality investigation between China's stock market and international oil market: a dynamic multiscale approach

DOI10.1016/J.CAM.2019.112460zbMath1426.91318OpenAlexW2973611051MaRDI QIDQ2332762

Guanyi Yu, Yufang Peng, Pengbang Wei, Weidong Chen

Publication date: 5 November 2019

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2019.112460

zbMATH Keywords

Granger causality testspillover effectChina's stock marketbivariate empirical mode decompositionBrent oil market

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial science and mathematical finance (91G99)

Related Items (1)

Multi-scale features of interdependence between oil prices and stock prices

Cites Work

• Impact of foreign exchange rate on oil companies risk in stock market: a Markov-switching approach
• On analysis of bi-dimensional component decomposition via BEMD
• A novel mode-characteristic-based decomposition ensemble model for nuclear energy consumption forecasting
• A new statistic and practical guidelines for nonparametric Granger causality testing
• Explaining the time-varying effects of oil market shocks on US stock returns
• Derivative-optimized empirical mode decomposition for the Hilbert-Huang transform
• Analysis of portfolio diversification between REIT assets
• The empirical mode decomposition and the Hilbert spectrum for nonlinear and non-stationary time series analysis

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