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A wavelet analysis of mean and volatility spillovers between oil and BRICS stock markets · Study

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ArticleA wavelet analysis of mean and volatility spillovers between oil and BRICS stock markets

Heni Boubaker2017

Article2017

A wavelet analysis of mean and volatility spillovers between oil and BRICS stock markets

Heni Boubaker · Syed Ali Raza

196 citations·0/0 files stored·Energy Economics

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Market Dynamics and Volatility Financial Risk and Volatility Modeling COVID-19 Pandemic Impacts

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References

2002Dynamic Conditional Correlation 1983Oil and the Macroeconomy since World War II 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model 2000What is an Oil Shock?2009THE IMPACT OF OIL PRICE SHOCKS ON THE U.S. STOCK MARKET*1999Oil price shocks and stock market activity 1996Oil and the Stock Markets 1998Modeling Asymmetric Comovements of Asset Returns

Cited by

2018The co-movement between oil and clean energy stocks: A wavelet-based analysis of horizon associations 2020Dynamic co-movement between oil and stock markets in oil-importing and oil-exporting countries: Two types of wavelet analysis 2021Volatility spillovers between strategic commodity futures and stock markets and portfolio implications: Evidence from developed and emerging economies 2019Risk spillovers between oil and stock markets: A VAR for VaR analysis 2018Multi-scale interactions between economic policy uncertainty and oil prices in time-frequency domains

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Year2017

Typearticle

Published2017-02-05

VenueEnergy Economics

ISSN-L0140-9883

Languageen

Citations196

Files0 public / 0

ShelfMarket Dynamics and Volatility

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doi10.1016/j.eneco.2017.01.026

openalex_workW2583630442

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2020

Can crude oil drive the co-movement in the international stock market? Evidence from partial wavelet coherence analysis

2019Connectedness and hedging between gold and Islamic securities: A new evidence from time-frequency domain approaches

2019Visiting effects of crude oil price on economic growth in BRICS countries: Fresh evidence from wavelet-based quantile-on-quantile tests