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Oil and stock returns: Evidence from European industrial sector indices in a time-varying environment
16 references·16 citing·26 second hopsampled
Oil and stock returns: Evidence from European industrial sector indices in a time-varying environment (2013)Oil and stock returns: Evidence from Euro…The Econometrics of Financial Markets (2012)The Econometrics of Financial…THE IMPACT OF OIL PRICE SHOCKS ON THE U.S. STOCK MARKET* (2009)THE IMPACT OF OIL PRICE SHOCK…Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market (2009)Not All Oil Price Shocks Are …Understanding Crude Oil Prices (2008)Understanding Crude Oil PricesThe New Palgrave dictionary of economics (2008)The New Palgrave dictionary o…The Economic Effects of Energy Price Shocks (2008)The Economic Effects of Energ…Oil price shocks and stock markets in the U.S. and 13 European countries (2008)Oil price shocks and stock ma…Oil price shocks and stock market activity (1999)Oil price shocks and stock ma…Systematic Monetary Policy and the Effects of Oil Price Shocks (1997)Systematic Monetary Policy an…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 MarketsMultivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Introduction to Multiple Time Series Analysis (1993)Introduction to Multiple Time…Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…A Capital Asset Pricing Model with Time-Varying Covariances (1988)A Capital Asset Pricing Model…Oil and the Macroeconomy since World War II (1983)Oil and the Macroeconomy sinc…Oil price changes, uncertainty, and geopolitical risks: On the resilience of GCC countries to global tensions (2021)Oil price changes, uncertaint…Asymmetric spillover and network connectedness between gold, BRENT oil and EU subsector markets (2021)Asymmetric spillover and netw…Spillovers between oil and stock returns in the US energy sector: Does idiosyncratic information matter? (2019)Spillovers between oil and st…Relationship between the oil price volatility and sectoral stock markets in oil-exporting economies: Evidence from wavelet nonlinear denoised based quantile and Granger-causality analysis (2019)Relationship between the oil …A sectoral analysis of asymmetric nexus between oil price and stock returns (2019)A sectoral analysis of asymme…Oil price shocks and uncertainty: How stable is their relationship over time? (2018)Oil price shocks and uncertai…Impact of oil price risk on sectoral equity markets: Implications on portfolio management (2018)Impact of oil price risk on s…Oil price shocks and China's stock market (2017)Oil price shocks and China's …Oil and energy sector stock markets: An analysis of implied volatility indexes (2017)Oil and energy sector stock m…Nonparametric panel data model for crude oil and stock market prices in net oil importing countries (2017)Nonparametric panel data mode…Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries (2016)Time-varying correlation betw…Returns and volatility linkages between international crude oil price, metal and other stock indices in India: Evidence from VAR-DCC-GARCH models (2016)Returns and volatility linkag…Time-varying effect of oil market shocks on the stock market (2015)Time-varying effect of oil ma…How do U.S. stock returns respond differently to oil price shocks pre-crisis, within the financial crisis, and post-crisis? (2015)How do U.S. stock returns res…Oil price uncertainty and sectoral stock returns in China: A time-varying approach (2014)Oil price uncertainty and sec…Macroeconomic impacts of oil prices and underlying financial shocks (2013)Macroeconomic impacts of oil …Stock Returns, Real Activity, Inflation, and Money (1981)What is an Oil Shock? (2000)Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries (2011)THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL (2013)Oil prices, US stock return, and the dependence between their quantiles (2015)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)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Macroeconomics and Reality (1980)Comparing alternative tests of causality in temporal systems (1983)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)Atheoretical macroeconometrics: A critique (1985)The Economic Costs of Conflict: A Case Study of the Basque Country (2003)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Market Liquidity and Funding Liquidity (2008)Exogenous Oil Supply Shocks: How Big Are They and How Much Do They Matter for the U.S. Economy? (2008)Generalized impulse response analysis in linear multivariate models (1998)Introductory Econometrics for Finance (2008)An Autoregressive Distributed-Lag Modelling Approach to Cointegration Analysis (2012)
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References

  • 2012The Econometrics of Financial Markets5,875 cited
  • 2009Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market4,637 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 1983Oil and the Macroeconomy since World War II3,823 cited
  • 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
  • 1988A Capital Asset Pricing Model with Time-Varying Covariances3,145 cited
  • 1993Introduction to Multiple Time Series Analysis1,912 cited
  • 2009THE IMPACT OF OIL PRICE SHOCKS ON THE U.S. STOCK MARKET*1,837 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
  • 2008The New Palgrave dictionary of economics1,601 cited
  • 1997Systematic Monetary Policy and the Effects of Oil Price Shocks1,594 cited
  • 2008The Economic Effects of Energy Price Shocks1,299 cited
  • 2008Understanding Crude Oil Prices1,270 cited
  • 2008Oil price shocks and stock markets in the U.S. and 13 European countries

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1,264 cited

Cited by

  • 2021Asymmetric spillover and network connectedness between gold, BRENT oil and EU subsector markets168 cited
  • 2015Time-varying effect of oil market shocks on the stock market161 cited
  • 2016Returns and volatility linkages between international crude oil price, metal and other stock indices in India: Evidence from VAR-DCC-GARCH models159 cited
  • 2015How do U.S. stock returns respond differently to oil price shocks pre-crisis, within the financial crisis, and post-crisis?159 cited
  • 2019Relationship between the oil price volatility and sectoral stock markets in oil-exporting economies: Evidence from wavelet nonlinear denoised based quantile and Granger-causality analysis159 cited
  • 2016Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries157 cited
  • 2014Oil price uncertainty and sectoral stock returns in China: A time-varying approach152 cited
  • 2017Nonparametric panel data model for crude oil and stock market prices in net oil importing countries147 cited
  • 2019Spillovers between oil and stock returns in the US energy sector: Does idiosyncratic information matter?147 cited
  • 2018Oil price shocks and uncertainty: How stable is their relationship over time?129 cited
  • 2017Oil price shocks and China's stock market113 cited
  • 2021Oil price changes, uncertainty, and geopolitical risks: On the resilience of GCC countries to global tensions108 cited
  • 2013Macroeconomic impacts of oil prices and underlying financial shocks93 cited
  • 2017Oil and energy sector stock markets: An analysis of implied volatility indexes91 cited
  • 2018Impact of oil price risk on sectoral equity markets: Implications on portfolio management85 cited
  • 2019A sectoral analysis of asymmetric nexus between oil price and stock returns79 cited