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On the relationship of gold, crude oil, stocks with financial stress: A causality-in-quantiles approach
, Debojyoti Das, Aviral Kumar Tiwari, Muhammad Shahbaz, Haslifah M Hasim
Published in Elsevier BV
Volume: 27
Pages: 169 - 174
We examined the dependence structure of stocks, gold and crude oil with financial stress using the nonparametric causality-in-quantile technique for the period from December 1993 to March 2017. The study finds the evidence of bilateral causality in mean and variance for gold and crude oil with respect to financial stress, and stocks to be influential to financial stress both in mean and variance.
About the journal
JournalData powered by TypesetFinance Research Letters
PublisherData powered by TypesetElsevier BV
Open AccessNo