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. DOI https://doi.org/10.1016/j.frl.2018.02.030
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. DOI https://doi.org/10.1016/j.frl.2018.02.030
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. DOI https://doi.org/10.1016/j.frl.2018.02.030
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 > Mathematics, Statistics and Actuarial Science, School of |
| SWORD Depositor: | Unnamed user with email elements@essex.ac.uk |
| Depositing User: | Unnamed user with email elements@essex.ac.uk |
| Date Deposited: | 09 Mar 2018 16:33 |
| Last Modified: | 30 Oct 2024 17:22 |
| URI: | http://repository.essex.ac.uk/id/eprint/21667 |
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