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 short-run...
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: | |
Online Access: | http://www.econjournals.com/index.php/ijefi/article/view/201/pdf |
Similar Items
-
Oil and S&P 500 Markets: Evidence from the Nonlinear Model
by: Yen-Hsien Lee, et al.
Published: (2012-09-01) -
Price Transmission Analysis in Iran Chicken Market
by: Seyed Safdar Hosseini, et al.
Published: (2012-12-01) -
Analysis the price transmission on saffron market case study: Razavi, North and South Khorasan Provinces
by: Hashem Mahmoudi, et al.
Published: (2014-09-01) -
Nonlinear relationships and volatility spillovers among house prices, interest rates and stock market prices
by: Hsiang-Hsi Liu, et al.
Published: (2016-12-01) -
Jump Driven Risk Model Performance in Cryptocurrency Market
by: Ramzi Nekhili, et al.
Published: (2020-04-01)