Dependence Structure and Time–Frequency Impact of Exchange Rates on Crude Oil and Stock Markets of BRICS Countries: Markov-Switching-Based Wavelet Analysis

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 exchan...

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