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Time-varying causality between crude oil and stock markets: What can we learn from a multiscale perspective?
16 references·16 citing·36 second hopsampled
Time-varying causality between crude oil and stock markets: What can we learn from a multiscale perspective? (2017)Time-varying causality between crude oil …Volatility spillovers between oil prices and stock sector returns: Implications for portfolio management (2011)Volatility spillovers between…Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries (2011)Dynamic correlation between s…Asymmetric causality tests with an application (2011)Asymmetric causality tests wi…A new unit root test with two structural breaks in level and slope at unknown time (2010)A new unit root test with two…THE IMPACT OF OIL PRICE SHOCKS ON THE U.S. STOCK MARKET* (2009)THE IMPACT OF OIL PRICE SHOCK…Do structural oil-market shocks affect stock prices? (2009)Do structural oil-market shoc…The Economic Effects of Energy Price Shocks (2008)The Economic Effects of Energ…Relationships between oil price shocks and stock market: An empirical analysis from China (2008)Relationships between oil pri…Oil price shocks and stock markets in the U.S. and 13 European countries (2008)Oil price shocks and stock ma…Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Asymmetric Dynamics in the Co…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Oil price shocks and stock market activity (1999)Oil price shocks and stock ma…Oil and the Stock Markets (1996)Oil and the Stock MarketsEnergy shocks and financial markets (1996)Energy shocks and financial m…The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)The Great Crash, the Oil Pric…Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Investigating Causal Relation…The importance of ABS 2 journals in finance scholarship: Evidence from a bibliometric case study (2023)The importance of ABS 2 journ…Integrated decision recommendation system using iteration-enhanced collaborative filtering, golden cut bipolar for analyzing the risk-based oil market spillovers (2022)Integrated decision recommend…Does implied volatility (or fear index) affect Islamic stock returns and conventional stock returns differently? Wavelet-based granger-causality, asymmetric quantile regression and NARDL approaches (2022)Does implied volatility (or f…Correlations between crude oil and stocks prices of renewable energy and technology companies: A multiscale time-dependent analysis (2021)Correlations between crude oi…Implied volatility relationships between crude oil and the U.S. stock markets: Dynamic correlation and spillover effects (2020)Implied volatility relationsh…Dynamic dependence and risk connectedness among oil and stock markets: New evidence from time-frequency domain perspectives (2020)Dynamic dependence and risk c…Correlation and risk measurement modeling: A Markov-switching mixed Clayton copula approach (2020)Correlation and risk measurem…A real time leading economic indicator based on text mining for the Spanish economy. Fractional cointegration VAR and Continuous Wavelet Transform analysis (2020)A real time leading economic …Risk forecasting in the crude oil market: A multiscale Convolutional Neural Network approach (2019)Risk forecasting in the crude…Dynamic impacts of crude oil price on Chinese investor sentiment: Nonlinear causality and time-varying effect (2019)Dynamic impacts of crude oil …Analysis of temporal pattern, causal interaction and predictive modeling of financial markets using nonlinear dynamics, econometric models and machine learning algorithms (2019)Analysis of temporal pattern,…A sectoral analysis of asymmetric nexus between oil price and stock returns (2019)A sectoral analysis of asymme…Risk spillover of international crude oil to China's firms: Evidence from granger causality across quantile (2018)Risk spillover of internation…Oil price shocks and stock returns nexus for Malaysia: Fresh evidence from nonlinear ARDL test (2018)Oil price shocks and stock re…Oil price and automobile stock return co-movement: A wavelet coherence analysis (2018)Oil price and automobile stoc…Does the Malaysian Sovereign sukuk market offer portfolio diversification opportunities for global fixed-income investors? Evidence from wavelet coherence and multivariate-GARCH analyses (2018)Does the Malaysian Sovereign …Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)ARCH modeling in finance (1992)Multivariate Simultaneous Generalized ARCH (1995)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)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)Autoregressive 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)SRISK: A Conditional Capital Shortfall Measure of Systemic Risk (2010)Financialization, crisis and commodity correlation dynamics (2012)Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates (2012)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)Oil and the Macroeconomy since World War II (1983)Investigating Causal Relations by Econometric Models and Cross-Spectral Methods (2010)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Renewable energy consumption, CO2 emissions and oil prices in the G7 countries (2009)Oil prices, exchange rates and emerging stock markets (2011)MONEY, INCOME, AND CAUSALITY (1972)Oil price shocks, stock market, economic activity and employment in Greece (2001)Oil price risk and emerging stock markets (2006)Oil prices and the stock prices of alternative energy companies (2007)Causes and Consequences of the Oil Shock of 2007-08 (2009)What do we learn from the price of crude oil futures? (2010)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Testing for Granger non-causality in heterogeneous panels (2012)
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References

  • 1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods22,971 cited
  • 1989The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis7,685 cited
  • 2002Dynamic Conditional Correlation7,126 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
  • 2006Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns1,775 cited
  • 1996Oil and the Stock Markets1,611 cited
  • 2008The Economic Effects of Energy Price Shocks1,299 cited
  • 2008Oil price shocks and stock markets in the U.S. and 13 European countries1,264 cited
  • 1996Energy shocks and financial markets1,099 cited
  • 2011Asymmetric causality tests with an application880 cited
  • 2011Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries764 cited
  • 2010A new unit root test with two structural breaks in level and slope at unknown time725 cited
  • 2009Do structural oil-market shocks affect stock prices?715 cited
  • 2011Volatility spillovers between oil prices and stock sector returns: Implications for portfolio management

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666 cited
  • 2008Relationships between oil price shocks and stock market: An empirical analysis from China665 cited
  • Cited by

    • 2020Implied volatility relationships between crude oil and the U.S. stock markets: Dynamic correlation and spillover effects110 cited
    • 2020Dynamic dependence and risk connectedness among oil and stock markets: New evidence from time-frequency domain perspectives105 cited
    • 2018Oil price and automobile stock return co-movement: A wavelet coherence analysis96 cited
    • 2019Dynamic impacts of crude oil price on Chinese investor sentiment: Nonlinear causality and time-varying effect90 cited
    • 2019A sectoral analysis of asymmetric nexus between oil price and stock returns79 cited
    • 2022Integrated decision recommendation system using iteration-enhanced collaborative filtering, golden cut bipolar for analyzing the risk-based oil market spillovers79 cited
    • 2018Oil price shocks and stock returns nexus for Malaysia: Fresh evidence from nonlinear ARDL test77 cited
    • 2018Risk spillover of international crude oil to China's firms: Evidence from granger causality across quantile74 cited
    • 2021Correlations between crude oil and stocks prices of renewable energy and technology companies: A multiscale time-dependent analysis71 cited
    • 2019Analysis of temporal pattern, causal interaction and predictive modeling of financial markets using nonlinear dynamics, econometric models and machine learning algorithms56 cited
    • 2022Does implied volatility (or fear index) affect Islamic stock returns and conventional stock returns differently? Wavelet-based granger-causality, asymmetric quantile regression and NARDL approaches42 cited
    • 2019Risk forecasting in the crude oil market: A multiscale Convolutional Neural Network approach39 cited
    • 2018Does the Malaysian Sovereign sukuk market offer portfolio diversification opportunities for global fixed-income investors? Evidence from wavelet coherence and multivariate-GARCH analyses38 cited
    • 2020Correlation and risk measurement modeling: A Markov-switching mixed Clayton copula approach37 cited
    • 2020A real time leading economic indicator based on text mining for the Spanish economy. Fractional cointegration VAR and Continuous Wavelet Transform analysis21 cited
    • 2023The importance of ABS 2 journals in finance scholarship: Evidence from a bibliometric case study18 cited