Disentangled oil shocks and stock market volatility in Nigeria and South Africa: A GARCH-MIDAS approach

Author:

Tumala Mohammed M.,Salisu Afees A.,Gambo Ali I.

Publisher

Elsevier BV

Subject

Economics and Econometrics,Economics, Econometrics and Finance (miscellaneous)

Reference50 articles.

1. Analysing the gold-stock nexus using VARMA-BEKK-AGARCH and quantile regression models: new evidence from South Africa and Nigeria;Adewuyi;Resour. Policy,2019

2. Impact of oil price shock and exchange rate volatility on economic growth in Nigeria: An empirical investigation;Aliyu;Res. J. Int. Stud.,2009

3. Oil shocks and stock market: Revisiting the dynamics;Anand;Energy Econ.,2021

4. Why don’t oil shocks cause inflation? Evidence from disaggregate inflation data;Bachmeier;J. Money Credit Bank.,2011

5. The impact of oil shocks on exchange rates: A Markov-switching approach;Basher;Energy Econ.,2016

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