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• W2273409799 abstract "In this chapter we studied the nonlinear co-movements between the Mexican Crude Oil price, the Mexican Stock Market Index and the USD/MXN Exchange Rate, for the sample period from 1994 to date. We used a battery of nonlinear tests, cf. (Patterson & Ashley, 2000) and one multivariate test, in order to determine the dynamic co-movement exerted from the oil prices to the stock and exchange rate markets. Such co-movement and time windows are exposed using the Brooks & Hinich (1999) cross- bicorrelation statistical test. The effects of oil spills on other markets have been studied from different angles and on several financial assets. In this study, we focus our attention on the detection, not only of the correlations amongst markets but on the epochs in which such nonlinear dependence might occur. This is important in order to understand better, how the markets that drive the economy interact with each other. We hope to contribute to the literature with such findings, filling a gap in the emerging markets context, in particular, for the Mexican case." @default.
• W2273409799 created "2016-06-24" @default.
• W2273409799 creator A5080858624 @default.
• W2273409799 creator A5082236115 @default.
• W2273409799 date "2016-02-10" @default.
• W2273409799 modified "2023-09-27" @default.
• W2273409799 title "A study of co-movements between oil price, stock index and exchange rate under a cross-bicorrelation perspective: the case of Mexico" @default.
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• W2273409799 hasPublicationYear "2016" @default.
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