Shock Dependence and Volatility Transmission Between Crude Oil and Stock Markets: Evidence from Pakistan
This paper investigates shock dependence and volatility transmission between the crude oil and equity markets, based on crude oil returns and stock index returns for the period 2 January 2009 to 27 January 2014. We employ the bivariate BEKK-GARCH (1, 1) model developed by Engle and Kroner (1995) as...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Lahore School of Economics
2016-10-01
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| Series: | The Lahore Journal of Business |
| Subjects: | |
| Online Access: | https://journals.lahoreschool.edu.pk/LJB/LJB/article/view/48 |