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Modeling systemic risk and dependence structure between oil and stock markets using a variational mode decomposition-based copula method
16 references·16 citing·33 second hopsampled
Modeling systemic risk and dependence structure between oil and stock markets using a variational mode decomposition-based copula method (2016)Modeling systemic risk and dependence str…Oil prices, US stock return, and the dependence between their quantiles (2015)Oil prices, US stock return, …MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)MODELLING ASYMMETRIC EXCHANGE…Copula Methods in Finance (2004)Copula Methods in FinanceOil price shocks and stock market activity (1999)Oil price shocks and stock ma…An Introduction to Copulas (1999)An Introduction to CopulasOil and the Stock Markets (1996)Oil and the Stock MarketsFractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Fractionally integrated gener…Energy shocks and financial markets (1996)Energy shocks and financial m…Autoregressive Conditional Density Estimation (1994)Autoregressive Conditional De…Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Testing the null hypothesis o…Testing for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…Economic Forces and the Stock Market (1986)Economic Forces and the Stock…DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED‐RESIDUAL AUTOCORRELATIONS (1983)DIAGNOSTIC CHECKING ARMA TIME…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Distribution of the Estimator…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimator…Volatility Spillovers between Stock and Energy Markets during Crises: A Comparative Assessment between the 2008 Global Financial Crisis and the Covid-19 Pandemic Crisis (2021)Volatility Spillovers between…Risk spillover from crude oil prices to GCC stock market returns: New evidence during the COVID-19 outbreak (2021)Risk spillover from crude oil…Structure dependence between oil and agricultural commodities returns: The role of geopolitical risks (2020)Structure dependence between …Geopolitical risk and renewable energy stock markets: An insight from multiscale dynamic risk spillover (2020)Geopolitical risk and renewab…The asymmetric effects of oil price on sectoral Islamic stocks: New evidence from quantile-on-quantile regression approach (2019)The asymmetric effects of oil…Spillovers between oil and stock returns in the US energy sector: Does idiosyncratic information matter? (2019)Spillovers between oil and st…Energy, precious metals, and GCC stock markets: Is there any risk spillover? (2019)Energy, precious metals, and …Asymmetric impact of oil prices on exchange rate and stock prices (2019)Asymmetric impact of oil pric…Uncertainties and extreme risk spillover in the energy markets: A time-varying copula-based CoVaR approach (2018)Uncertainties and extreme ris…The dependence and risk spillover between crude oil market and China stock market: New evidence from a variational mode decomposition-based copula method (2018)The dependence and risk spill…Risk spillover between energy and agricultural commodity markets: A dependence-switching CoVaR-copula model (2018)Risk spillover between energy…Risk dependence of CoVaR and structural change between oil prices and exchange rates: A time-varying copula model (2018)Risk dependence of CoVaR and …Multivariate dependence and spillover effects across energy commodities and diversification potentials of carbon assets (2018)Multivariate dependence and s…Modelling dynamic dependence and risk spillover between all oil price shocks and stock market returns in the BRICS (2018)Modelling dynamic dependence …Asymmetric risk spillovers between oil and agricultural commodities (2018)Asymmetric risk spillovers be…Oil price shocks, economic policy uncertainty and industry stock returns in China: Asymmetric effects with quantile regression (2017)Oil price shocks, economic po…Multivariate GARCH models: a surveyGeneralized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The distribution of realized stock return volatility (2001)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Statistical analysis of cointegration vectors (1988)Bounds testing approaches to the analysis of level relationships (2001)An Intertemporal Capital Asset Pricing Model (1973)Risk, Return, and Equilibrium: Empirical Tests (1973)The arbitrage theory of capital asset pricing (1976)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Industry costs of equity (1997)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Trends and random walks in macroeconmic time series (1982)Unit root tests in panel data: asymptotic and finite-sample properties (2002)A simple panel unit root test in the presence of cross‐section dependence (2007)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)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)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)Econometric Analysis of Cross Section and Panel Data (2001)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Introductory Econometrics for Finance (2008)Testing for unit roots in heterogeneous panels (2003)
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References

  • 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1988Testing for a Unit Root in Time Series Regression19,288 cited
  • 1992Testing the null hypothesis of stationarity against the alternative of a unit root12,634 cited
  • 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root9,128 cited
  • 1999An Introduction to Copulas7,743 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • 1996Fractionally integrated generalized autoregressive conditional heteroskedasticity2,290 cited
  • 2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*2,119 cited
  • 2004Copula Methods in Finance2,013 cited
  • 1999Oil price shocks and stock market activity1,798 cited
  • 1996Oil and the Stock Markets1,611 cited
  • 1994Autoregressive Conditional Density Estimation1,580 cited
  • 2015Oil prices, US stock return, and the dependence between their quantiles1,428 cited
  • 1983DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED‐RESIDUAL AUTOCORRELATIONS1,124 cited

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  • 1996Energy shocks and financial markets1,099 cited
  • Cited by

    • 2017Oil price shocks, economic policy uncertainty and industry stock returns in China: Asymmetric effects with quantile regression304 cited
    • 2018Risk spillover between energy and agricultural commodity markets: A dependence-switching CoVaR-copula model278 cited
    • 2018Modelling dynamic dependence and risk spillover between all oil price shocks and stock market returns in the BRICS236 cited
    • 2018Uncertainties and extreme risk spillover in the energy markets: A time-varying copula-based CoVaR approach197 cited
    • 2019The asymmetric effects of oil price on sectoral Islamic stocks: New evidence from quantile-on-quantile regression approach192 cited
    • 2021Volatility Spillovers between Stock and Energy Markets during Crises: A Comparative Assessment between the 2008 Global Financial Crisis and the Covid-19 Pandemic Crisis183 cited
    • 2020Geopolitical risk and renewable energy stock markets: An insight from multiscale dynamic risk spillover179 cited
    • 2018Risk dependence of CoVaR and structural change between oil prices and exchange rates: A time-varying copula model177 cited
    • 2019Spillovers between oil and stock returns in the US energy sector: Does idiosyncratic information matter?147 cited
    • 2019Asymmetric impact of oil prices on exchange rate and stock prices144 cited
    • 2018The dependence and risk spillover between crude oil market and China stock market: New evidence from a variational mode decomposition-based copula method142 cited
    • 2018Asymmetric risk spillovers between oil and agricultural commodities131 cited
    • 2019Energy, precious metals, and GCC stock markets: Is there any risk spillover?130 cited
    • 2020Structure dependence between oil and agricultural commodities returns: The role of geopolitical risks128 cited
    • 2018Multivariate dependence and spillover effects across energy commodities and diversification potentials of carbon assets121 cited
    • 2021Risk spillover from crude oil prices to GCC stock market returns: New evidence during the COVID-19 outbreak113 cited