Dependence Structure and Time–Frequency Impact of Exchange Rates on Crude Oil and Stock Markets of BRICS Countries: Markov-Switching-Based Wavelet Analysis
Abstract:This paper used the Markov-switching (MS)-based wavelet analysis technique to study the dependence structure and the time–frequency impact of exchange rates on crude oil prices (West Texas Intermediate (WTI)) and stock returns. Daily data from 1 January 2005 to 1 March 2020 were collected for exchange rates, crude oil prices, and the BRICS stock market returns. The findings indicate that crude oil prices display higher volatility compared to stock returns and exchange rates. Furthermore, the wavelet analysis r… Show more
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