SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Nonlinear effects of oil shocks on stock returns: a Markov-switching approach
16 references·10 citing·37 second hop
Nonlinear effects of oil shocks on stock returns: a Markov-switching approach (2008)Nonlinear effects of oil shocks on stock …What is an Oil Shock? (2000)What is an Oil Shock?Oil price shocks and stock market activity (1999)Oil price shocks and stock ma…A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets (1999)A Unified Theory of Underreac…This is what happened to the oil price-macroeconomy relationship (1996)This is what happened to the …Oil and the Stock Markets (1996)Oil and the Stock MarketsA test for independence based on the correlation dimension (1996)A test for independence based…Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Testing the null hypothesis o…A VARIANCE DECOMPOSITION FOR STOCK RETURNS (1990)A VARIANCE DECOMPOSITION FOR …Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…Oil and the Macroeconomy When Prices Go Up and Down: An Extension of Hamilton's Results (1989)Oil and the Macroeconomy When…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)The Dividend-Price Ratio and …Testing for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)The Dividend-Price Ratio and …Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Is gold a long-run hedge, diversifier, or safe haven for oil? Empirical evidence based on DCC-MIDAS (2022)Is gold a long-run hedge, div…Do oil prices and economic policy uncertainty matter for precious metal returns? New insights from a TVP-VAR framework (2021)Do oil prices and economic po…Crude oil price and exchange rate: Evidence from the period before and after the launch of China's crude oil futures (2021)Crude oil price and exchange …The nonlinear effect of oil price shocks on financial stress: Evidence from China (2020)The nonlinear effect of oil p…Gold as a hedge against oil shocks: Evidence from new datasets for oil shocks (2020)Gold as a hedge against oil s…A dynamic quantile regression model for the relationship between oil price and stock markets in oil-importing and oil-exporting countries (2020)A dynamic quantile regression…Quantile relationship between oil and stock returns: Evidence from emerging and frontier stock markets (2019)Quantile relationship between…Dependence and risk management in oil and stock markets. A wavelet-copula analysis (2016)Dependence and risk managemen…Asymmetric effects of oil price shocks on stock returns: evidence from a two-stage Markov regime-switching approach (2016)Asymmetric effects of oil pri…Wavelet dynamics for oil-stock world interactions (2014)Wavelet dynamics for oil-stoc…Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)Analysis of Financial Time Series (2006)Introductory Econometrics for Finance (2008)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test (1999)Unit root tests for panel data (2001)Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)Output Fluctuations in the United States: What Has Changed since the Early 1980's?Oil and the Macroeconomy since World War II (1983)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Facts and Fantasies about Commodity Futures (2006)The Economic Effects of Energy Price Shocks (2008)THE IMPACT OF OIL PRICE SHOCKS ON THE U.S. STOCK MARKET* (2009)Trends and random walks in macroeconmic time series (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Unit root tests in panel data: asymptotic and finite-sample properties (2002)A simple panel unit root test in the presence of cross‐section dependence (2007)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Market efficiency, long-term returns, and behavioral finance1The comments of Brad Barber, David Hirshleifer, S.P. Kothari, Owen Lamont, Mark Mitchell, Hersh Shefrin, Robert Shiller, Rex Sinquefield, Richard Thaler, Theo Vermaelen, Robert Vishny, Ivo Welch, and a referee have been helpful. Kenneth French and Jay Ritter get special thanks.1 (1998)Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies (2000)Capital markets research in accounting (2001)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Expected stock returns and volatility (1987)The Cross‐Section of Volatility and Expected Returns (2006)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)Efficient Capital Markets: II (1991)A five-factor asset pricing model (2014)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Investor Psychology and Asset Pricing (2001)Presidential Address: Discount Rates (2011)
this work references cited by second hop

References

  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1988Testing for a Unit Root in Time Series Regression19,288 cited
  • 1992Testing the null hypothesis of stationarity against the alternative of a unit root12,634 cited
  • 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 cited
  • 1999A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets4,018 cited
  • 1988The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors3,784 cited
  • 1996A test for independence based on the correlation dimension3,526 cited
  • 1989Why Does Stock Market Volatility Change Over Time?3,433 cited
  • 1986The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors2,425 cited
  • 2000What is an Oil Shock?2,194 cited
  • 1990A VARIANCE DECOMPOSITION FOR STOCK RETURNS1,822 cited
  • 1999Oil price shocks and stock market activity1,798 cited
  • 1996This is what happened to the oil price-macroeconomy relationship1,684 cited
  • 1996Oil and the Stock Markets1,611 cited
  • 1989Oil and the Macroeconomy When Prices Go Up and Down: An Extension of Hamilton's Results

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

1,557 cited
  • 1989Why Does Stock Market Volatility Change Over Time?1,209 cited
  • Cited by

    • 2019Quantile relationship between oil and stock returns: Evidence from emerging and frontier stock markets81 cited
    • 2016Asymmetric effects of oil price shocks on stock returns: evidence from a two-stage Markov regime-switching approach76 cited
    • 2022Is gold a long-run hedge, diversifier, or safe haven for oil? Empirical evidence based on DCC-MIDAS75 cited
    • 2014Wavelet dynamics for oil-stock world interactions67 cited
    • 2021Do oil prices and economic policy uncertainty matter for precious metal returns? New insights from a TVP-VAR framework66 cited
    • 2016Dependence and risk management in oil and stock markets. A wavelet-copula analysis65 cited
    • 2020A dynamic quantile regression model for the relationship between oil price and stock markets in oil-importing and oil-exporting countries63 cited
    • 2020The nonlinear effect of oil price shocks on financial stress: Evidence from China62 cited
    • 2021Crude oil price and exchange rate: Evidence from the period before and after the launch of China's crude oil futures62 cited
    • 2020Gold as a hedge against oil shocks: Evidence from new datasets for oil shocks58 cited