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Keywords: Markov regime switching
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Journal Articles
International Journal of Emerging Markets (2022) 17 (6): 1583–1614.
Published: 01 December 2020
... between oil prices and stock returns. The regime and state-specific dependence of stock returns on the structural oil shocks are captured by the Markov regime switching and quantile regression models. Findings The authors find that the demand shocks are positively associated with stock markets...

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