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Exploring the dynamic effects of financial factors on oil prices based on a TVP-VAR model
16 references·1 citing·47 second hop
Exploring the dynamic effects of financial factors on oil prices based on a TVP-VAR model (2019)Exploring the dynamic effects of financia…Time-Varying Effects of Oil Supply Shocks on the US Economy (2013)Time-Varying Effects of Oil S…The Role of Speculation in Oil Markets: What Have We Learned So Far? (2013)The Role of Speculation in Oi…THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL (2013)THE ROLE OF INVENTORIES AND S…Correlations and volatility spillovers across commodity and stock markets: Linking energies, food, and gold (2013)Correlations and volatility s…Time-Varying Parameter VAR Model with Stochastic Volatility: An Overview of Methodology and Empirical Applications (2011)Time-Varying Parameter VAR Mo…Return and volatility transmission between world oil prices and stock markets of the GCC countries (2011)Return and volatility transmi…Modelling oil price and exchange rate co-movements (2011)Modelling oil price and excha…Oil price fluctuations and U.S. dollar exchange rates (2009)Oil price fluctuations and U.…Crude oil and stock markets: Stability, instability, and bubbles (2009)Crude oil and stock markets: …Spillover effect of US dollar exchange rate on oil prices (2008)Spillover effect of US dollar…Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Measuring Financial Asset Ret…Time Varying Structural Vector Autoregressions and Monetary Policy (2005)Time Varying Structural Vecto…Shock and volatility transmission in the oil, US and Gulf equity markets (2005)Shock and volatility transmis…Oil and the Macroeconomy When Prices Go Up and Down: An Extension of Hamilton's Results (1989)Oil and the Macroeconomy When…Crude Oil and the Macroeconomy: Tests of Some Popular Notions: Note (1986)Crude Oil and the Macroeconom…Oil Prices and Exchange Rates (1983)Oil Prices and Exchange RatesDynamic impact of negative public sentiment on agricultural product prices during COVID-19 (2021)Dynamic impact of negative pu…The Current Account and Macroeconomic Adjustment in the 1970s (1981)The Impact of Oil Price Shocks on the Economic Growth of Selected MENA1 Countries (2010)Statistical analysis of cointegration vectors (1988)Testing for a Unit Root in Time Series Regression (1988)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Oil price shocks and stock market activities: Evidence from oil-importing and oil-exporting countries (2013)Oil price shocks and stock market returns: Evidence for some European countries (2013)Oil shocks, policy uncertainty and stock market return (2013)Oil and the Macroeconomy since World War II (1983)Oil Price Shocks and the Dispersion Hypothesis (1986)This is what happened to the oil price-macroeconomy relationship (1996)Allocative Disturbances and Specific Capital in Real Business Cycle Theories (2016)What are the effects of monetary policy on output? Results from an agnostic identification procedure (2005)Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market (2009)THE IMPACT OF OIL PRICE SHOCKS ON THE U.S. STOCK MARKET* (2009)Financialization of Commodity Markets (2013)Speculators, commodities and cross-market linkages (2013)Structural Interpretation of Vector Autoregressions with Incomplete Identification: Revisiting the Role of Oil Supply and Demand Shocks (2019)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Dynamic Conditional Correlation (2002)Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH (2015)Oil prices and real estate investment trusts (REITs): Gradual-shift causality and volatility transmission analysis (2016)Crude Oil futures contracts and commodity markets: New evidence from a TVP-VAR extended joint connectedness approach (2021)Index Investment and the Financialization of Commodities (2012)Oil price shocks and stock market returns: New evidence from the United States and China (2014)Oil Price Shocks: Causes and Consequences (2014)Impulse response analysis in nonlinear multivariate models (1996)Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory* (2000)The Economic Effects of Energy Price Shocks (2008)Inflation-Gap Persistence in the US (2009)OIL AND THE MACROECONOMY: A QUANTITATIVE STRUCTURAL ANALYSIS (2012)On the Estimation of Security Price Volatilities from Historical Data (1980)Generalized impulse response analysis in linear multivariate models (1998)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms (2011)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Econometric policy evaluation: A critique (1976)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Drifts and volatilities: monetary policies and outcomes in the post WWII US (2005)INTEREST AND PRICES: FOUNDATIONS OF A THEORY OF MONETARY POLICY (2005)Were There Regime Switches in U.S. Monetary Policy? (2006)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)Macroeconomic Responses to Oil Price Increases and Decreases in Seven OECD Countries (1994)Oil price shocks and stock market activity (1999)What is an Oil Shock? (2000)
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References

  • 2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets3,380 cited
  • 2005Time Varying Structural Vector Autoregressions and Monetary Policy3,044 cited
  • 1989Oil and the Macroeconomy When Prices Go Up and Down: An Extension of Hamilton's Results1,566 cited
  • 2013THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL1,471 cited
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  • 2011Return and volatility transmission between world oil prices and stock markets of the GCC countries423 cited
  • 2005Shock and volatility transmission in the oil, US and Gulf equity markets417 cited
  • 2011Time-Varying Parameter VAR Model with Stochastic Volatility: An Overview of Methodology and Empirical Applications402 cited

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  • 2011Modelling oil price and exchange rate co-movements378 cited
  • 2008Spillover effect of US dollar exchange rate on oil prices368 cited
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    • 2021Dynamic impact of negative public sentiment on agricultural product prices during COVID-1948 cited