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Supply and demand driven oil price changes and their non-linear impact on precious metal returns: A Markov regime switching approach
16 references·16 citing·36 second hopsampled
Supply and demand driven oil price changes and their non-linear impact on precious metal returns: A Markov regime switching approach (2018)Supply and demand driven oil price change…Is gold a safe haven? International evidence (2010)Is gold a safe haven? Interna…THE IMPACT OF OIL PRICE SHOCKS ON THE U.S. STOCK MARKET* (2009)THE IMPACT OF OIL PRICE SHOCK…Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market (2009)Not All Oil Price Shocks Are …Expected Stock Returns and Variance Risk Premia (2009)Expected Stock Returns and Va…Understanding Crude Oil Prices (2008)Understanding Crude Oil PricesThe Economic Effects of Energy Price Shocks (2008)The Economic Effects of Energ…Exogenous Oil Supply Shocks: How Big Are They and How Much Do They Matter for the U.S. Economy? (2008)Exogenous Oil Supply Shocks: …No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…International Asset Allocation With Regime Shifts (2002)International Asset Allocatio…The New Econometrics of Structural Change: Dating Breaks in U.S. Labor Productivity (2001)The New Econometrics of Struc…Modeling the conditional distribution of interest rates as a regime-switching process (1996)Modeling the conditional dist…A test for independence based on the correlation dimension (1996)A test for independence based…Autoregressive conditional heteroskedasticity and changes in regime (1994)Autoregressive conditional he…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Testing the null hypothesis o…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…Economic Policy Uncertainty and Emerging Stock Market Volatility (2023)Economic Policy Uncertainty a…Do uncertainties affect clean energy markets? Comparisons from a multi-frequency and multi-quantile framework (2023)Do uncertainties affect clean…Asymmetric effects of decomposed oil-price shocks on the EU carbon market dynamics (2022)Asymmetric effects of decompo…Oil, natural gas and BRICS stock markets: Evidence of systemic risks and co-movements in the time-frequency domain (2021)Oil, natural gas and BRICS st…Oil shocks and stock market volatility: New evidence (2021)Oil shocks and stock market v…Economic policy uncertainty and the volatility connectedness between oil shocks and metal market: An extension (2021)Economic policy uncertainty a…Economic policy uncertainty and dynamic spillover among precious metals under market conditions: Does COVID-19 have any effects? (2021)Economic policy uncertainty a…Do oil prices and economic policy uncertainty matter for precious metal returns? New insights from a TVP-VAR framework (2021)Do oil prices and economic po…Agricultural commodity markets and oil prices: An analysis of the dynamic return and volatility connectedness (2021)Agricultural commodity market…The asymmetric oil price and policy uncertainty shock exposure of emerging market sectoral equity returns: A quantile regression approach (2020)The asymmetric oil price and …Multi-scale dependence structure and risk contagion between oil, gold, and US exchange rate: A wavelet-based vine-copula approach (2020)Multi-scale dependence struct…Impact of energy sector volatility on clean energy assets (2020)Impact of energy sector volat…Global economic policy uncertainty and gold futures market volatility: Evidence from Markov regime‐switching GARCH‐MIDAS models (2020)Global economic policy uncert…Examining the predictive information of CBOE OVX on China’s oil futures volatility: Evidence from MS-MIDAS models (2020)Examining the predictive info…Does economic policy uncertainty drive the dynamic connectedness between oil price shocks and gold price? (2020)Does economic policy uncertai…Period specific volatility spillover based connectedness between oil and other commodity prices and their portfolio implications (2019)Period specific volatility sp…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)Analysis of Financial Time Series (2006)Introductory Econometrics for Finance (2008)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)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)Stock Returns, Real Activity, Inflation, and Money (1981)What is an Oil Shock? (2000)Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries (2011)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)Optimum consumption and portfolio rules in a continuous-time model (1971)A Theory of the Term Structure of Interest Rates (1985)A New Approach to Measuring Financial Contagion (2003)Market Integration and Contagion (2005)How Sovereign Is Sovereign Credit Risk? (2011)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Cross‐Section of Volatility and Expected Returns (2006)Trends and random walks in macroeconmic time series (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Atheoretical macroeconometrics: A critique (1985)Systematic Monetary Policy and the Effects of Oil Price Shocks (1997)Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold (2010)Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates (2012)Bitcoin is not the New Gold – A comparison of volatility, correlation, and portfolio performance (2018)A CNN–LSTM model for gold price time-series forecasting (2020)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)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

  • 1992Testing the null hypothesis of stationarity against the alternative of a unit root12,634 cited
  • 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 2009Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market4,637 cited
  • 1996A test for independence based on the correlation dimension3,526 cited
  • 2010Is gold a safe haven? International evidence1,944 cited
  • 2009THE IMPACT OF OIL PRICE SHOCKS ON THE U.S. STOCK MARKET*1,837 cited
  • 1994Autoregressive conditional heteroskedasticity and changes in regime1,835 cited
  • 2002International Asset Allocation With Regime Shifts1,779 cited
  • 2009Expected Stock Returns and Variance Risk Premia1,776 cited
  • 1996Modeling the conditional distribution of interest rates as a regime-switching process1,492 cited
  • 2008The Economic Effects of Energy Price Shocks1,299 cited
  • 2008Understanding Crude Oil Prices1,270 cited
  • 2008Exogenous Oil Supply Shocks: How Big Are They and How Much Do They Matter for the U.S. Economy?

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926 cited
  • 2001The New Econometrics of Structural Change: Dating Breaks in U.S. Labor Productivity853 cited
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    • 2021Agricultural commodity markets and oil prices: An analysis of the dynamic return and volatility connectedness120 cited
    • 2020Impact of energy sector volatility on clean energy assets119 cited
    • 2020Does economic policy uncertainty drive the dynamic connectedness between oil price shocks and gold price?109 cited
    • 2019Period specific volatility spillover based connectedness between oil and other commodity prices and their portfolio implications107 cited
    • 2020Multi-scale dependence structure and risk contagion between oil, gold, and US exchange rate: A wavelet-based vine-copula approach101 cited
    • 2022Asymmetric effects of decomposed oil-price shocks on the EU carbon market dynamics94 cited
    • 2021Oil, natural gas and BRICS stock markets: Evidence of systemic risks and co-movements in the time-frequency domain88 cited
    • 2021Oil shocks and stock market volatility: New evidence84 cited
    • 2020Examining the predictive information of CBOE OVX on China’s oil futures volatility: Evidence from MS-MIDAS models77 cited
    • 2020Global economic policy uncertainty and gold futures market volatility: Evidence from Markov regime‐switching GARCH‐MIDAS models72 cited
    • 2021Economic policy uncertainty and dynamic spillover among precious metals under market conditions: Does COVID-19 have any effects?71 cited
    • 2023Economic Policy Uncertainty and Emerging Stock Market Volatility71 cited
    • 2021Do oil prices and economic policy uncertainty matter for precious metal returns? New insights from a TVP-VAR framework66 cited
    • 2023Do uncertainties affect clean energy markets? Comparisons from a multi-frequency and multi-quantile framework66 cited
    • 2020The asymmetric oil price and policy uncertainty shock exposure of emerging market sectoral equity returns: A quantile regression approach65 cited
    • 2021Economic policy uncertainty and the volatility connectedness between oil shocks and metal market: An extension63 cited