Sectoral stock return sensitivity to oil price changes: a double-threshold FIGARCH model

Author: Elyasiani Elyas   Mansur Iqbal   Odusami Babatunde  

Publisher: Routledge Ltd

ISSN: 1469-7688

Source: Quantitative Finance, Vol.13, Iss.4, 2013-04, pp. : 593-612

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Abstract