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Volatility Spillovers Between Oil Prices And Stock Returns: A Focus On Frontier Markets
16 references·0 citing·37 second hop
Volatility Spillovers Between Oil Prices And Stock Returns: A Focus On Frontier Markets (2014)Volatility Spillovers Between Oil Prices …Volatility spillovers between oil prices and stock sector returns: Implications for portfolio management (2011)Volatility spillovers between…On the impacts of oil price fluctuations on European equity markets: Volatility spillover and hedging effectiveness (2011)On the impacts of oil price f…Oil prices, stock markets and portfolio investment: Evidence from sector analysis in Europe over the last decade (2010)Oil prices, stock markets and…Volatility transmission between oil prices and equity sector returns (2009)Volatility transmission betwe…Oil price shocks and stock markets in the U.S. and 13 European countries (2008)Oil price shocks and stock ma…Common and fundamental factors in stock returns of Canadian oil and gas companies (2006)Common and fundamental factor…Shock and volatility transmission in the oil, US and Gulf equity markets (2005)Shock and volatility transmis…Dynamic Conditional Correlation - a Simple Class of Multivariate GARCH Models (2000)Dynamic Conditional Correlati…Oil price shocks and stock market activity (1999)Oil price shocks and stock ma…What happened to the oil price-macroeconomy relationship? (1996)What happened to the oil pric…Oil and the Stock Markets (1996)Oil and the Stock MarketsEnergy shocks and financial markets (1996)Energy shocks and financial m…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Oil and the Macroeconomy When Prices Go Up and Down: An Extension of Hamilton's Results (1989)Oil and the Macroeconomy When…Crude Oil and the Macroeconomy: Tests of Some Popular Notions: Note (1986)Crude Oil and the Macroeconom…Oil and the Macroeconomy since World War II (1983)Oil and the Macroeconomy sinc…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)Modeling and Forecasting Realized Volatility (2003)Irreversibility, Uncertainty, and Cyclical Investment (1980)Macroeconomics and Reality (1980)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Oil Shocks and the Macroeconomy: The Role of Price Variability* (1995)Oil price shocks and real GDP growth: empirical evidence for some OECD countries (2005)The Macroeconomic Effects of Oil Shocks: Why are the 2000s So Different from the 1970s? (2007)Dynamic Conditional Correlation (2002)Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH (2015)Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2016)The directional volatility connectedness between crude oil and equity markets: New evidence from implied volatility indexes (2016)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Comparing alternative tests of causality in temporal systems (1983)This is what happened to the oil price-macroeconomy relationship (1996)What is an Oil Shock? (2000)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)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)A Capital Asset Pricing Model with Time-Varying Covariances (1988)Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Long-Term Global Market Correlations (2001)Modeling and Forecasting Realized Volatility (2001)Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries (2011)Investigating Causal Relations by Econometric Models and Cross-Spectral Methods (2010)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)Oil prices, exchange rates and emerging stock markets (2011)MONEY, INCOME, AND CAUSALITY (1972)Oil price shocks, stock market, economic activity and employment in Greece (2001)Oil price risk and emerging stock markets (2006)Oil prices and the stock prices of alternative energy companies (2007)The Economic Effects of Energy Price Shocks (2008)
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References

  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 1983Oil and the Macroeconomy since World War II3,823 cited
  • 1999Oil price shocks and stock market activity1,798 cited
  • 1996Oil and the Stock Markets1,611 cited
  • 1989Oil and the Macroeconomy When Prices Go Up and Down: An Extension of Hamilton's Results1,557 cited
  • 2008Oil price shocks and stock markets in the U.S. and 13 European countries1,264 cited
  • 2000Dynamic Conditional Correlation - a Simple Class of Multivariate GARCH Models1,108 cited
  • 1996Energy shocks and financial markets1,099 cited
  • 1996What happened to the oil price-macroeconomy relationship?918 cited
  • 2011Volatility spillovers between oil prices and stock sector returns: Implications for portfolio management666 cited
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  • 2010Oil prices, stock markets and portfolio investment: Evidence from sector analysis in Europe over the last decade498 cited
  • 2011On the impacts of oil price fluctuations on European equity markets: Volatility spillover and hedging effectiveness487 cited
  • 2006Common and fundamental factors in stock returns of Canadian oil and gas companies473 cited
  • 2005

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Shock and volatility transmission in the oil, US and Gulf equity markets
417 cited
  • 2009Volatility transmission between oil prices and equity sector returns352 cited
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