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Keywords: Structural breaks
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Journal Articles
Journal:
Studies in Economics and Finance
Studies in Economics and Finance (2026) 43 (4): 1136–1169.
Published: 10 March 2026
.../methodology/approach The study used a novel integration of DCC-GARCH, GO-GARCH, aDCC-GARCH and EGARCH-DCC to build hedging strategies. Meanwhile, analysis of structural breaks shows that the different global crises have altered the linkages in the oil–stock nexus. Findings Outcomes revealed that GO-GARCH...
Journal Articles
Journal:
Studies in Economics and Finance
Studies in Economics and Finance (2019) 36 (2): 291–310.
Published: 19 June 2019
... Limited Licensed re-use rights only Subprime crisis Eurozone Euro debt crisis Oil price risk Sector returns Structural breaks C22 G12 Q43 The price of oil is considered an important risk factor for stock markets. The study of the oil-stock market relationship is particularly...
