A model-free test for contagion between crude oil and stock markets

DOI10.1016/j.econlet.2015.02.023zbMath1321.62130OpenAlexW1990819871MaRDI QIDQ500512

Xu Zheng, Yuting Gong, Zhiyuan Pan

Publication date: 5 October 2015

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2015.02.023

zbMATH Keywords

stock marketcontagioncrude oil marketmodel-free test

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Measures of association (correlation, canonical correlation, etc.) (62H20)

Cites Work

• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation

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