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Copula model dependency between oil prices and stock markets: Evidence from China and Vietnam
16 references·16 citing·43 second hopsampled
Copula model dependency between oil prices and stock markets: Evidence from China and Vietnam (2012)Copula model dependency between oil price…Oil prices, exchange rates and emerging stock markets (2011)Oil prices, exchange rates an…Relationships between oil price shocks and stock market: An empirical analysis from China (2008)Relationships between oil pri…Oil price shocks and stock markets in the U.S. and 13 European countries (2008)Oil price shocks and stock ma…MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)MODELLING ASYMMETRIC EXCHANGE…Goodness‐of‐fit Procedures for Copula Models Based on the Probability Integral Transformation (2006)Goodness‐of‐fit Procedures fo…Dependence patterns across financial markets: a mixed copula approach (2006)Dependence patterns across fi…Evidence on the nature and extent of the relationship between oil prices and equity values in the UK (2005)Evidence on the nature and ex…Copula Methods in Finance (2004)Copula Methods in FinanceRisk factors in stock returns of Canadian oil and gas companies (2001)Risk factors in stock returns…Oil price shocks, stock market, economic activity and employment in Greece (2001)Oil price shocks, stock marke…Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach (2000)Estimation of tail-related ri…Oil price shocks and stock market activity (1999)Oil price shocks and stock ma…Oil price risk and the Australian stock market (1999)Oil price risk and the Austra…Oil and the Stock Markets (1996)Oil and the Stock MarketsEnergy shocks and financial markets (1996)Energy shocks and financial m…Models for Exceedances Over High Thresholds (1990)Models for Exceedances Over H…Oil price uncertainty and enterprise total factor productivity: Evidence from China (2022)Oil price uncertainty and ent…On the higher-order moment interdependence of stock and commodity markets: A wavelet coherence analysis (2021)On the higher-order moment in…'Shiny' Crypto Assets: A Systemic Look at Gold-Backed Cryptocurrencies during the COVID-19 Pandemic (2021)'Shiny' Crypto Assets: A Syst…Dependences and volatility spillovers between the oil and stock markets: New evidence from the copula and VAR-BEKK-GARCH models (2019)Dependences and volatility sp…Oil prices, stock returns, and exchange rates: Empirical evidence from China and the United States (2017)Oil prices, stock returns, an…Oil price shocks and China's stock market (2017)Oil price shocks and China's …Nonparametric panel data model for crude oil and stock market prices in net oil importing countries (2017)Nonparametric panel data mode…“De-financialization” of commodities? Evidence from stock, crude oil and natural gas markets (2017)“De-financialization” of comm…Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries (2016)Time-varying correlation betw…The impact of crude oil prices on financial market indicators: copula approach (2016)The impact of crude oil price…Oil price uncertainty and Chinese stock returns: New evidence from the oil volatility index (2016)Oil price uncertainty and Chi…Shocks and Stocks: A Bottom-up Assessment of the Relationship Between Oil Prices, Gasoline Prices and the Returns of Chinese Firms (2015)Shocks and Stocks: A Bottom-u…Oil volatility shocks and the stock markets of oil-importing MENA economies: A tale from the financial crisis (2015)Oil volatility shocks and the…Oil shocks, policy uncertainty and stock returns in China (2015)Oil shocks, policy uncertaint…Energy markets and CO2 emissions: Analysis by stochastic copula autoregressive model (2015)Energy markets and CO2 emissi…Oil price uncertainty and sectoral stock returns in China: A time-varying approach (2014)Oil price uncertainty and sec…Extreme Values, Regular Variation and Point Processes (1987)The Asymptotic Theory of Extreme Order Statistics (1990)Extreme Correlation of International Equity Markets (2001)Analysis of Financial Time Series (2006)The t Copula and Related Copulas (2007)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Generalized autoregressive conditional heteroskedasticity (1986)Testing for a Unit Root in Time Series Regression (1988)THE IMPACT OF OIL PRICE SHOCKS ON THE U.S. STOCK MARKET* (2009)Oil prices, US stock return, and the dependence between their quantiles (2015)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Statistical analysis of cointegration vectors (1988)Do structural oil-market shocks affect stock prices? (2009)Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries (2011)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Multivariate Simultaneous Generalized ARCH (1995)An Introduction to Copulas (1999)Copula Modeling: An Introduction for Practitioners (2007)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)SRISK: A conditional capital shortfall measure of systemic risk (2017)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Oil and the Macroeconomy since World War II (1983)Investigating Causal Relations by Econometric Models and Cross-Spectral Methods (2010)ARCH modeling in finance (1992)Modelling of extremal events in insurance and finance (1994)Coherent Measures of Risk (1999)Value-at-Risk Prediction: A Comparison of Alternative Strategies (2005)Tails, Fears, and Risk Premia (2011)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Renewable energy consumption, CO2 emissions and oil prices in the G7 countries (2009)Statistical inference in vector autoregressions with possibly integrated processes (1995)Efficient Tests for an Autoregressive Unit Root (1996)Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market (2009)Oil price shocks and stock market activities: Evidence from oil-importing and oil-exporting countries (2013)Oil price shocks and stock market returns: New evidence from the United States and China (2014)Revisiting the oil price and stock market nexus: A nonlinear Panel ARDL approach (2017)MONEY, INCOME, AND CAUSALITY (1972)Oil price risk and emerging stock markets (2006)Oil prices and the stock prices of alternative energy companies (2007)Everything You Always Wanted to Know about Copula Modeling but Were Afraid to Ask (2007)Goodness-of-fit tests for copulas: A review and a power study (2007)
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References

  • 2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*2,119 cited
  • 2004Copula Methods in Finance2,013 cited
  • 1999Oil price shocks and stock market activity1,798 cited
  • 2000Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach1,732 cited
  • 1990Models for Exceedances Over High Thresholds1,725 cited
  • 1996Oil and the Stock Markets1,611 cited
  • 2008Oil price shocks and stock markets in the U.S. and 13 European countries1,264 cited
  • 1996Energy shocks and financial markets1,099 cited
  • 2001Oil price shocks, stock market, economic activity and employment in Greece773 cited
  • 2011Oil prices, exchange rates and emerging stock markets729 cited
  • 2008Relationships between oil price shocks and stock market: An empirical analysis from China665 cited
  • 2001Risk factors in stock returns of Canadian oil and gas companies653 cited
  • 2005Evidence on the nature and extent of the relationship between oil prices and equity values in the UK460 cited
  • 2006Goodness‐of‐fit Procedures for Copula Models Based on the Probability Integral Transformation407 cited
  • 2006Dependence patterns across financial markets: a mixed copula approach

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393 cited
  • 1999Oil price risk and the Australian stock market391 cited
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    • 2016Oil price uncertainty and Chinese stock returns: New evidence from the oil volatility index168 cited
    • 2016Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries157 cited
    • 2019Dependences and volatility spillovers between the oil and stock markets: New evidence from the copula and VAR-BEKK-GARCH models154 cited
    • 2014Oil price uncertainty and sectoral stock returns in China: A time-varying approach152 cited
    • 2017“De-financialization” of commodities? Evidence from stock, crude oil and natural gas markets151 cited
    • 2017Nonparametric panel data model for crude oil and stock market prices in net oil importing countries147 cited
    • 2015Oil volatility shocks and the stock markets of oil-importing MENA economies: A tale from the financial crisis145 cited
    • 2016The impact of crude oil prices on financial market indicators: copula approach144 cited
    • 2022Oil price uncertainty and enterprise total factor productivity: Evidence from China129 cited
    • 2015Oil shocks, policy uncertainty and stock returns in China128 cited
    • 2017Oil price shocks and China's stock market113 cited
    • 2017Oil prices, stock returns, and exchange rates: Empirical evidence from China and the United States99 cited
    • 2021'Shiny' Crypto Assets: A Systemic Look at Gold-Backed Cryptocurrencies during the COVID-19 Pandemic81 cited
    • 2015Shocks and Stocks: A Bottom-up Assessment of the Relationship Between Oil Prices, Gasoline Prices and the Returns of Chinese Firms77 cited
    • 2021On the higher-order moment interdependence of stock and commodity markets: A wavelet coherence analysis76 cited
    • 2015Energy markets and CO2 emissions: Analysis by stochastic copula autoregressive model64 cited