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Dependence and risk management in oil and stock markets. A wavelet-copula analysis
16 references·0 citing·37 second hop
Dependence and risk management in oil and stock markets. A wavelet-copula analysis (2016)Dependence and risk management in oil and…Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries (2011)Dynamic correlation between s…THE IMPACT OF OIL PRICE SHOCKS ON THE U.S. STOCK MARKET* (2009)THE IMPACT OF OIL PRICE SHOCK…Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)Optimal Versus Naive Diversif…Oil prices and the stock prices of alternative energy companies (2007)Oil prices and the stock pric…Measuring financial contagion: A Copula approach (2007)Measuring financial contagion…MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)MODELLING ASYMMETRIC EXCHANGE…Copula Methods in Finance (2004)Copula Methods in FinanceNo Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…Oil price shocks and stock market activity (1999)Oil price shocks and stock ma…An Introduction to Copulas (1999)An Introduction to CopulasModeling Asymmetric Comovements of Asset Returns (1998)Modeling Asymmetric Comovemen…Oil and the Stock Markets (1996)Oil and the Stock MarketsEnergy shocks and financial markets (1996)Energy shocks and financial m…Threshold heteroskedastic models (1994)Threshold heteroskedastic mod…Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Tests for Parameter Instabili…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Stock Returns, Real Activity, Inflation, and Money (1981)What is an Oil Shock? (2000)Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market (2009)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)Multivariate GARCH models: a surveyAutoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Emerging equity market volatility (1997)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)Oil price shocks and stock markets in the U.S. and 13 European countries (2008)Multivariate Simultaneous Generalized ARCH (1995)Copula Modeling: An Introduction for Practitioners (2007)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)SRISK: A conditional capital shortfall measure of systemic risk (2017)Inference About the Change-Point in a Sequence of Random Variables (1970)Testing for the Constancy of Parameters Over Time (1989)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (1992)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)PORTFOLIO SELECTION* (1952)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Robust performance hypothesis testing with the Sharpe ratio (2008)A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms (2009)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)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)ARCH modeling in finance (1992)The Cross‐Section of Volatility and Expected Returns (2006)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Introductory Econometrics for Finance (2008)Extreme Correlation of International Equity Markets (2001)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)
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References

  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1999An Introduction to Copulas7,743 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 1993Tests for Parameter Instability and Structural Change With Unknown Change Point4,325 cited
  • 2007Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?3,193 cited
  • 1994Threshold heteroskedastic models2,294 cited
  • 2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*2,119 cited
  • 2004Copula Methods in Finance2,013 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
  • 1996Oil and the Stock Markets1,611 cited
  • 1998Modeling Asymmetric Comovements of Asset Returns1,588 cited
  • 1996Energy shocks and financial markets1,099 cited
  • 2007Oil prices and the stock prices of alternative energy companies843 cited
  • 2007Measuring financial contagion: A Copula approach826 cited
  • 2011Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries

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