Oil price shocks and energy stock returns of ASEAN-5 countries: evidence from Ready’s (2018) decomposition technique in a markov regime switching framework
The present study applies a new decomposition technique by Ready (2018) to estimate the impact of oil price shocks on stock return in a Markov Regime Switching framework. The approach solves certain shortcomings of the novel procedure from Kilian by incorporating daily forward-looking prices of...
Saved in:
Main Authors: | Adilah Azhari,, Mukhriz Izraf Azman Aziz,, Yong, Kang Cheah, Hazrul Shahiri, |
---|---|
Format: | Article |
Language: | English |
Published: |
Penerbit Universiti Kebangsaan Malaysia
2021
|
Online Access: | http://journalarticle.ukm.my/17186/1/24.pdf http://journalarticle.ukm.my/17186/ https://www.ukm.my/jsm/malay_journals/jilid50bil4_2021/KandunganJilid50Bil4_2021.html |
Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Similar Items
-
Oil price shocks and macroeconomic activities in ASEAN-5 countries: A panel VAR Approach
by: Azman Aziz, Mukhriz Izraf, et al.
Published: (2015) -
Consumers, ready to be shocked
by: Amir Hisyam, Rasid
Published: (2019) -
Is Facebook PROPHET superior than hybrid ARIMA model to forecast crude oil price?
by: Mukhriz Izraf Azman Aziz,, et al.
Published: (2022) -
Is Facebook PROPHET Superior than Hybrid ARIMA Model to Forecast Crude Oil Price?
(Adakah PROPHET Facebook Lebih Hebat daripada Model ARIMA Hibrid untuk Meramalkan Harga Minyak Mentah?)
by: Mukhriz Izraf Azman, Aziz, et al.
Published: (2022) -
The effect of asymmetrical relationship of oil price shocks on gross domestic product
by: Zalina Zainal,, et al.
Published: (2021)