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Oil price uncertainty and the Canadian economy: Evidence from a VARMA, GARCH-in-Mean, asymmetric BEKK model
16 references·16 citing·36 second hopsampled
Oil price uncertainty and the Canadian economy: Evidence from a VARMA, GARCH-in-Mean, asymmetric BEKK model (2011)Oil price uncertainty and the Canadian ec…The New Palgrave dictionary of economics (2008)The New Palgrave dictionary o…A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)A forecast comparison of vola…What is an Oil Shock? (2000)What is an Oil Shock?Modeling Asymmetric Comovements of Asset Returns (1998)Modeling Asymmetric Comovemen…Identifying monetary policy in a small open economy under flexible exchange rates (1997)Identifying monetary policy i…Oil price volatility and the macroeconomy (1996)Oil price volatility and the …Efficient Tests for an Autoregressive Unit Root (1996)Efficient Tests for an Autore…Oil Shocks and the Macroeconomy: The Role of Price Variability* (1995)Oil Shocks and the Macroecono…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Testing the null hypothesis o…Efficient Tests for an Autoregressive Unit Root (1992)Efficient Tests for an Autore…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Oil and the Macroeconomy since World War II (1983)Oil and the Macroeconomy sinc…Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Likelihood Ratio Statistics f…Irreversibility, Uncertainty, and Cyclical Investment (1980)Irreversibility, Uncertainty,…Geopolitical risks and energy uncertainty: Implications for global and domestic energy prices (2024)Geopolitical risks and energy…The macroeconomic effects of oil price uncertainty (2023)The macroeconomic effects of …Does oil price uncertainty matter in firm innovation? Evidence from China (2023)Does oil price uncertainty ma…Oil price uncertainty, corporate governance and firm performance (2022)Oil price uncertainty, corpor…The effects of the oil price and oil price volatility on inflation in Turkey (2021)The effects of the oil price …The role of oil price uncertainty shocks on oil-exporting countries (2020)The role of oil price uncerta…The Linkages of Carbon Spot-Futures: Evidence from EU-ETS in the Third Phase (2020)The Linkages of Carbon Spot-F…Forecasting crude oil and refined products volatilities and correlations: New evidence from fractionally integrated multivariate GARCH models (2020)Forecasting crude oil and ref…Oil price uncertainty and real output growth: new evidence from selected oil-importing countries in the Middle East (2017)Oil price uncertainty and rea…Falling oil prices: Causes, consequences and policy implications (2016)Falling oil prices: Causes, c…Oil price shocks and global imbalances: lessons from a model with trade and financial interdependencies (2015)Oil price shocks and global i…Asymmetric price volatility transmission between food and energy markets: The case of Spain (2015)Asymmetric price volatility t…Macroeconomic impacts of oil price volatility: mitigation and resilience (2014)Macroeconomic impacts of oil …Macroeconomic effects of oil price shocks in China: An empirical study based on Hilbert–Huang transform and event study (2014)Macroeconomic effects of oil …Regional spillover effects of renewable energy generation in Italy (2013)Regional spillover effects of…Oil price uncertainty, monetary policy and the macroeconomy: The Canadian perspective (2013)Oil price uncertainty, moneta…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)Testing for a Unit Root in Time Series Regression (1988)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)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)Dynamic Conditional Correlation (2002)Modeling and Forecasting Realized Volatility (2003)Output Fluctuations in the United States: What Has Changed since the Early 1980's?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)Understanding business cycles (1977)The Value of Waiting to Invest (1982)Policy Uncertainty and Corporate Investment (2015)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Macroeconomics and Reality (1980)Comparing alternative tests of causality in temporal systems (1983)This is what happened to the oil price-macroeconomy relationship (1996)Oil price shocks and stock market activity (1999)Time Series Analysis: Forecasting and Control (1977)Bounds testing approaches to the analysis of level relationships (2001)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Time Series Regression with a Unit Root (1987)LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power (2001)A simple panel unit root test in the presence of cross‐section dependence (2007)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)A long memory property of stock market returns and a new model (1993)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Introductory Econometrics for Finance (2008)Statistical analysis of cointegration vectors (1988)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)
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References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root14,647 cited
  • 1992Testing the null hypothesis of stationarity against the alternative of a unit root12,634 cited
  • 1996Efficient Tests for an Autoregressive Unit Root5,637 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 1992Efficient Tests for an Autoregressive Unit Root4,234 cited
  • 1980Irreversibility, Uncertainty, and Cyclical Investment4,130 cited
  • 1983Oil and the Macroeconomy since World War II3,823 cited
  • 1993Measuring and Testing the Impact of News on Volatility3,692 cited
  • 2000What is an Oil Shock?2,194 cited
  • 2005A forecast comparison of volatility models: does anything beat a GARCH(1,1)?1,783 cited
  • 2008The New Palgrave dictionary of economics1,601 cited
  • 1998Modeling Asymmetric Comovements of Asset Returns1,588 cited
  • 1995Oil Shocks and the Macroeconomy: The Role of Price Variability*914 cited
  • 1997Identifying monetary policy in a small open economy under flexible exchange rates793 cited

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1996
Oil price volatility and the macroeconomy
765 cited

Cited by

  • 2023The macroeconomic effects of oil price uncertainty113 cited
  • 2014Macroeconomic impacts of oil price volatility: mitigation and resilience98 cited
  • 2015Oil price shocks and global imbalances: lessons from a model with trade and financial interdependencies85 cited
  • 2021The effects of the oil price and oil price volatility on inflation in Turkey81 cited
  • 2013Regional spillover effects of renewable energy generation in Italy80 cited
  • 2014Macroeconomic effects of oil price shocks in China: An empirical study based on Hilbert–Huang transform and event study75 cited
  • 2024Geopolitical risks and energy uncertainty: Implications for global and domestic energy prices72 cited
  • 2013Oil price uncertainty, monetary policy and the macroeconomy: The Canadian perspective72 cited
  • 2020The role of oil price uncertainty shocks on oil-exporting countries65 cited
  • 2016Falling oil prices: Causes, consequences and policy implications56 cited
  • 2017Oil price uncertainty and real output growth: new evidence from selected oil-importing countries in the Middle East56 cited
  • 2015Asymmetric price volatility transmission between food and energy markets: The case of Spain54 cited
  • 2022Oil price uncertainty, corporate governance and firm performance53 cited
  • 2020Forecasting crude oil and refined products volatilities and correlations: New evidence from fractionally integrated multivariate GARCH models48 cited
  • 2020The Linkages of Carbon Spot-Futures: Evidence from EU-ETS in the Third Phase22 cited
  • 2023Does oil price uncertainty matter in firm innovation? Evidence from China19 cited