The chaotic behavior among the oil prices, expectation of investors and stock returns: TAR-TR-GARCH copula and TAR-TR-TGARCH copula

Abstract This paper has two aims. The first one is to investigate the existence of chaotic structures in the oil prices, expectations of investors and stock returns by combining the Lyapunov exponent and Kolmogorov entropy, and the second one is to analyze the dependence behavior of oil prices, expe...

Full description

Saved in:
Bibliographic Details
Main Author: Melike Bildirici
Format: article
Language:EN
Published: KeAi Communications Co., Ltd. 2018
Subjects:
Q
Online Access:https://doaj.org/article/27ad83e7654d4e3c832d7b723008f684
Tags: Add Tag
No Tags, Be the first to tag this record!