Dynamics of crude oil price shocks and major Latin American Equity Markets: A study in time and frequency domains

DOI10.1111/BOER.12258MaRDI QIDQ5156258zbMATH OpenOpenAlexFDO

Authors Bahram Adrangi, Arjun Chatrath, Joseph MacRi, Kambiz Raffiee

Publication date 15 October 2021

Published in Bulletin of Economic Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/boer.12258

zbMATH Keywords

asymmetryco-spectral and coherencecrude oil shocksEGARCHequity marketsGranger causalitynonlinearityspectral density

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial markets (91G15)

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