Das, D and Kumar, SB and Tiwari, AK and Shahbaz, M and Hasim, HM (2018) 'On the Relationship of Gold, Crude Oil, Stocks with Financial Stress: A Causality-in-Quantiles Approach.' Finance Research Letters, 27. pp. 169-174. ISSN 1544-6123

Preview

Text 1s20S1544612317303963main.pdf - Accepted Version Available under License Creative Commons Attribution Non-commercial No Derivatives. Download (971kB) | Preview

Abstract

We examined the dependence structure of stocks, gold and crude oil with financial stress using the nonparametric causality-in-quantile technique for the period from December 1993 to March 2017. The study finds the evidence of bilateral causality in mean and variance for gold and crude oil with respect to financial stress, and stocks to be influential to financial stress both in mean and variance.

Item Type:	Article
Uncontrolled Keywords:	Gold; Crude Oil; Financial Stress; Causality-in-Quantiles
Subjects:	H Social Sciences > HG Finance Q Science > QA Mathematics
Divisions:	Faculty of Science and Health Faculty of Science and Health > Mathematical Sciences, Department of
SWORD Depositor:	Elements
Depositing User:	Elements
Date Deposited:	09 Mar 2018 16:33
Last Modified:	18 Aug 2022 13:22
URI:	http://repository.essex.ac.uk/id/eprint/21667

Actions (login required)

View Item