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hal.structure.identifierLaboratoire d'Economie de Dauphine [LEDa]
dc.contributor.authorCreti, Anna*
hal.structure.identifier
hal.structure.identifierOCRE
dc.contributor.authorFtiti, Zied*
hal.structure.identifierIPAG Lab [IPAG Lab]
hal.structure.identifierEconomiX
dc.contributor.authorGuesmi, Khaled*
dc.date.accessioned2014-07-15T10:17:52Z
dc.date.available2014-07-15T10:17:52Z
dc.date.issued2014
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/13716
dc.language.isoenen
dc.subjectOil pricesen
dc.subjectStock marketsen
dc.subjectEvolutionary co-spectral analysisen
dc.subject.ddc333en
dc.subject.classificationjelQ.Q4.Q43en
dc.subject.classificationjelQ.Q4.Q41en
dc.titleOil price and financial markets: Multivariate dynamic frequency analysisen
dc.typeArticle accepté pour publication ou publié
dc.contributor.editoruniversityotherParis West University Nanterre La Defense;France
dc.contributor.editoruniversityotherUniversity of Tunis;Tunisie
dc.description.abstractenThe aim of this paper is to study the degree of interdependence between oil price and stock market index into two groups of countries: oil-importers and oil-exporters. To this end, we propose a new empirical methodology allowing a time-varying dynamic correlation measure between the stock market index and the oil price series. We use the frequency approach proposed by Priestley and Tong (1973), that is the evolutionary co-spectral analysis. This method allows us to distinguish between short-run and medium-run dependence. In order to complete our study by analysing long-run dependence, we use the cointegration procedure developed by Engle and Granger (1987). We find that interdependence between the oil price and the stock market is stronger in exporters׳ markets than in the importers׳ ones.en
dc.relation.isversionofjnlnameEnergy Policy
dc.relation.isversionofjnlvol73
dc.relation.isversionofjnldate2014-10
dc.relation.isversionofjnlpages245-258
dc.relation.isversionofdoi10.1016/j.enpol.2014.05.057en
dc.relation.isversionofjnlpublisherElsevieren
dc.subject.ddclabelEconomie de la terre et des ressources naturellesen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen
dc.description.halcandidateoui
dc.description.readershiprecherche
dc.description.audienceInternational
dc.relation.Isversionofjnlpeerreviewedoui
hal.identifierhal-01517425*
hal.version1*
hal.update.actionupdateMetadata*
hal.author.functionaut
hal.author.functionaut
hal.author.functionaut


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