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On the Relationship of Gold, Crude Oil, Stocks with Financial Stress: A Causality-in-Quantiles Approach

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. ISSN 1544-6123

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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 > Mathematical Sciences, Department of
Depositing User: Elements
Date Deposited: 09 Mar 2018 16:33
Last Modified: 07 Mar 2019 02:00
URI: http://repository.essex.ac.uk/id/eprint/21667

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