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Jump dynamics and volatility: Oil and the stock markets · Study

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ArticleJump dynamics and volatility: Oil and the stock markets

Jer-Shiou Chiou2009

Article2009

Jump dynamics and volatility: Oil and the stock markets

Jer-Shiou Chiou · Yen‐Hsien Lee

184 citations·0/0 files stored·Energy

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Market Dynamics and Volatility Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 184 citations exist upstream.

References

1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root 1988Testing for a Unit Root in Time Series Regression 1988Statistical analysis of cointegration vectors 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY 1992Testing the null hypothesis of stationarity against the alternative of a unit root 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root 1986Economic Forces and the Stock Market 1983Oil and the Macroeconomy since World War II

Cited by

2017Modeling and forecasting the volatility of carbon emission market: The role of outliers, time-varying jumps and oil price risk 2015The effect of global oil price shocks on China's agricultural commodities 2012Oil prices and stock market in China: A sector analysis using panel cointegration with multiple breaks 2014Return and volatility transmission between oil prices and oil-exporting and oil-importing countries 2018The dependence and risk spillover between crude oil market and China stock market: New evidence from a variational mode decomposition-based copula method 2015Return and volatility linkages between oil prices and the Lebanese stock market in crisis periods 2017Impact of oil price uncertainty on Middle East and African stock markets 2019The effect of economic policy uncertainty on stock-commodity correlations and its implications on optimal hedging

Details

Year2009

Typearticle

Published2009-04-11

VenueEnergy

ISSN-L0360-5442

Languageen

Citations184

Files0 public / 0

ShelfMarket Dynamics and Volatility

Identifiers

doi10.1016/j.energy.2009.02.011

openalex_workW2017617868

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