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Keywords: Multivariate GARCH
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Journal Articles
Conditional dependence structure between oil prices and international stock markets: Implication for portfolio management and hedging effectiveness
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International Journal of Energy Sector Management (2020) 14 (2): 439–467.
Published: 13 August 2019
... oil price Stock markets hedging strategy Dependence Copulas Multivariate GARCH Crude oil plays a crucial role in the world economy, as it is the main source used in productions of many goods. Consequently, the effects of oil price movements on the economy can be transmitted through direct...
