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Time-varying persistence in real oil prices and its determinant
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References

  • 2009Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market4,704 cited
  • 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation4,039 cited
  • 2000What is an Oil Shock?2,212 cited
  • 2009THE IMPACT OF OIL PRICE SHOCKS ON THE U.S. STOCK MARKET*1,871 cited
  • 2013THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL1,471 cited
  • 2008The Economic Effects of Energy Price Shocks1,333 cited
  • 2009Causes and Consequences of the Oil Shock of 2007-081,265 cited
  • 2015TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 5001,176 cited
  • 2009EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?*1,143 cited
  • 2004Oil and the Macroeconomy Since the 1970s1,137 cited
  • 2009Macro Factors in Bond Risk Premia1,043 cited
  • 2009Causes and Consequences of the Oil Shock of 2007-081,006 cited
  • 1998Small-sample Confidence Intervals for Impulse Response Functions919 cited
  • 2009Crude oil and stock markets: Stability, instability, and bubbles658 cited
  • 2011Dating the timeline of financial bubbles during the subprime crisis

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586 cited
  • 2001Do We Really Know That Oil Caused the Great Stagflation? A Monetary Alternative551 cited
  • Cited by

    • 2021Dynamics and causality of oil price shocks on commodities: Quantile-on-quantile and causality-in-quantiles methods51 cited
    • 2019Mild explosivity in recent crude oil prices49 cited