Oil and S&P 500 Markets: Evidence from the Nonlinear Model

Oil and S&P 500 Markets: Evidence from the Nonlinear Model

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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 short-run...

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Bibliographic Details
Main Authors: Yen-Hsien Lee, Hao Fang
Format: Article
Language:English
Published: EconJournals 2012-01-01
Series:International Journal of Economics and Financial Issues
Subjects:
Threshold Co-integration Test
Threshold Error-Correction Model
Stock Market
Oil Market
STECM-GARCH Model
Online Access:http://www.econjournals.com/index.php/ijefi/article/view/201/pdf

Internet

http://www.econjournals.com/index.php/ijefi/article/view/201/pdf

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