Oil and S&P 500 Markets: Evidence from the Nonlinear Model
This study begins by using a MTAR model to explore the asymmetric effects of error corrections between oil prices in the U.S.A and S&P 500 prices under different regimes. After confirming the lead/lag relationship between the S&P 500 and oil prices, we employ a STECM to analyze the s...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
EconJournals
2012-09-01
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| Series: | International Journal of Economics and Financial Issues |
| Subjects: | |
| Online Access: | https://dergipark.org.tr/tr/pub/ijefi/issue/31954/351842?publisher=http-www-cag-edu-tr-ilhan-ozturk |