Identifying asymmetric responses of sectoral equities to oil price shocks in a NARDL model

DOI10.1515/SNDE-2019-0066OpenAlexW3006022960MaRDI QIDQ2699609

Julien Chevallier, Feng Ma, Abderrazak Dhaoui

Publication date: 19 April 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2019-0066

zbMATH Keywords

transmission channelsoil price shocksnonlinear ARDLsector stock returns

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

• Statistical analysis of cointegration vectors
• Asymmetric exchange rate exposure of stock returns: empirical evidence from Chinese industries
• Nonlinear and asymmetric pricing behaviour in the Spanish gasoline market

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