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Keywords: GARCH-jump model
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Journal Articles
Impact of oil volatility shocks on global emerging market stock returns
Available to Purchase
International Journal of Managerial Finance (2017) 13 (5): 578–591.
Published: 23 August 2017
..., different forms of the GARCH-jump model have been estimated. Findings The findings confirm the effects of OVX on equity returns. In addition, the results document that there exist time-varying jumps in the stock market returns. Besides, the impacts of OVX shocks appear to be symmetric. The analysis...
