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Common cycles and common trends in the stock and oil markets: Evidence from more than 150 years of data
16 references·1 citing·19 second hop
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References

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  • 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root26,976 cited
  • 1988Testing for a Unit Root in Time Series Regression19,420 cited
  • 1988Statistical analysis of cointegration vectors17,038 cited
  • 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root14,677 cited
  • 1992Testing the null hypothesis of stationarity against the alternative of a unit root12,637 cited
  • 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models11,146 cited
  • 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root9,128 cited
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  • 1986Economic Forces and the Stock Market5,258 cited
  • 1992Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis5,248 cited
  • 2009Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market4,637 cited

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  • 1992Efficient Tests for an Autoregressive Unit Root4,279 cited
  • 2001LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power3,944 cited
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    • 2022Risk spread in multiple energy markets: Extreme volatility spillover network analysis before and during the COVID-19 pandemic48 cited