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THE ASYMMETRIC EFFECTS OF OIL PRICE SHOCKS
16 references·11 citing·29 second hop
THE ASYMMETRIC EFFECTS OF OIL PRICE SHOCKS (2011)THE ASYMMETRIC EFFECTS OF OIL PRICE SHOCKSA forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)A forecast comparison of vola…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…What is an Oil Shock? (2000)What is an Oil Shock?Modeling Asymmetric Comovements of Asset Returns (1998)Modeling Asymmetric Comovemen…Systematic Monetary Policy and the Effects of Oil Price Shocks (1997)Systematic Monetary Policy an…Impulse response analysis in nonlinear multivariate models (1996)Impulse response analysis in …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…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Modelling the Coherence in Sh…Oil and the Macroeconomy When Prices Go Up and Down: An Extension of Hamilton's Results (1989)Oil and the Macroeconomy When…A Capital Asset Pricing Model with Time-Varying Covariances (1988)A Capital Asset Pricing Model…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…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Likelihood Ratio Statistics f…The safe haven, hedging, and diversification properties of oil, gold, and cryptocurrency for the G7 equity markets: Evidence from the pre- and post-COVID-19 periods (2023)The safe haven, hedging, and …The macroeconomic effects of oil price uncertainty (2023)The macroeconomic effects of …Oil shocks and stock market volatility of the BRICS: A GARCH-MIDAS approach (2020)Oil shocks and stock market v…Volatility forecasting in commodity markets using macro uncertainty (2019)Volatility forecasting in com…Do oil shocks predict economic policy uncertainty? (2018)Do oil shocks predict economi…Crude oil price: Demand, supply, economic activity, economic policy uncertainty and wars – From the perspective of structural equation modelling (SEM) (2017)Crude oil price: Demand, supp…Oil prices and stock markets: Does the effect of uncertainty change over time? (2016)Oil prices and stock markets:…Science and the stock market: Investors' recognition of unburnable carbon (2015)Science and the stock market:…Oil price uncertainty, monetary policy and the macroeconomy: The Canadian perspective (2013)Oil price uncertainty, moneta…Oil price uncertainty and the Canadian economy: Evidence from a VARMA, GARCH-in-Mean, asymmetric BEKK model (2011)Oil price uncertainty and the…The asymmetric effects of oil price and monetary policy shocks: A nonlinear VAR approach (2010)The asymmetric effects of oil…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)ARCH modeling in finance (1992)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Stochastic Simulation (1987)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)Generalized impulse response analysis in linear multivariate models (1998)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Generalized autoregressive conditional heteroskedasticity (1986)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)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)Econometric Analysis of Cross Section and Panel Data (2001)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
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 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
  • 2002Dynamic Conditional Correlation7,126 cited
  • 1996Impulse response analysis in nonlinear multivariate models5,071 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 1983Oil and the Macroeconomy since World War II3,823 cited
  • 1993Measuring and Testing the Impact of News on Volatility3,692 cited
  • 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model3,519 cited
  • 1988A Capital Asset Pricing Model with Time-Varying Covariances3,145 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
  • 1997Systematic Monetary Policy and the Effects of Oil Price Shocks1,594 cited
  • 1998Modeling Asymmetric Comovements of Asset Returns

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1,588 cited
  • 1989Oil and the Macroeconomy When Prices Go Up and Down: An Extension of Hamilton's Results1,557 cited
  • Cited by

    • 2011Oil price uncertainty and the Canadian economy: Evidence from a VARMA, GARCH-in-Mean, asymmetric BEKK model124 cited
    • 2017Crude oil price: Demand, supply, economic activity, economic policy uncertainty and wars – From the perspective of structural equation modelling (SEM)121 cited
    • 2015Science and the stock market: Investors' recognition of unburnable carbon118 cited
    • 2023The macroeconomic effects of oil price uncertainty113 cited
    • 2020Oil shocks and stock market volatility of the BRICS: A GARCH-MIDAS approach103 cited
    • 2010The asymmetric effects of oil price and monetary policy shocks: A nonlinear VAR approach98 cited
    • 2019Volatility forecasting in commodity markets using macro uncertainty96 cited
    • 2023The safe haven, hedging, and diversification properties of oil, gold, and cryptocurrency for the G7 equity markets: Evidence from the pre- and post-COVID-19 periods90 cited
    • 2016Oil prices and stock markets: Does the effect of uncertainty change over time?89 cited
    • 2013Oil price uncertainty, monetary policy and the macroeconomy: The Canadian perspective72 cited
    • 2018Do oil shocks predict economic policy uncertainty?68 cited