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Volatility spillover impact of world oil prices on leading Asian energy exporting and importing economies’ stock returns
16 references·3 citing·37 second hop
Volatility spillover impact of world oil prices on leading Asian energy exporting and importing economies’ stock returns (2019)Volatility spillover impact of world oil …THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL (2013)THE ROLE OF INVENTORIES AND S…Financial development and energy consumption in Central and Eastern European frontier economies (2010)Financial development and ene…Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market (2009)Not All Oil Price Shocks Are …The Economic Effects of Energy Price Shocks (2008)The Economic Effects of Energ…Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Asymmetric Dynamics in the Co…Oil price shocks and real GDP growth: empirical evidence for some OECD countries (2005)Oil price shocks and real GDP…Improved estimation of the covariance matrix of stock returns with an application to portfolio selection (2003)Improved estimation of the co…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…What is an Oil Shock? (2000)What is an Oil Shock?Modeling Asymmetric Comovements of Asset Returns (1998)Modeling Asymmetric Comovemen…Oil and the Stock Markets (1996)Oil and the Stock MarketsMultivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Oil and the Macroeconomy When Prices Go Up and Down: An Extension of Hamilton's Results (1989)Oil and the Macroeconomy When…Oil and the Macroeconomy since World War II (1983)Oil and the Macroeconomy sinc…Multivariate GARCH models: a surveyMultivariate GARCH models: a …COVID-19 pandemic’s impact on intraday volatility spillover between oil, gold, and stock markets (2022)COVID-19 pandemic’s impact on…Dynamic asymmetric optimal portfolio allocation between energy stocks and energy commodities: Evidence from clean energy and oil and gas companies (2021)Dynamic asymmetric optimal po…Extreme risk spillovers between crude oil prices and the U.S. exchange rate: Evidence from oil-exporting and oil-importing countries (2020)Extreme risk spillovers betwe…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)ARCH modeling in finance (1992)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Output Fluctuations in the United States: What Has Changed since the Early 1980's?Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Facts and Fantasies about Commodity Futures (2006)THE IMPACT OF OIL PRICE SHOCKS ON THE U.S. STOCK MARKET* (2009)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)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Macroeconomics and Reality (1980)Comparing alternative tests of causality in temporal systems (1983)This is what happened to the oil price-macroeconomy relationship (1996)Oil price shocks and stock market activity (1999)Atheoretical macroeconometrics: A critique (1985)Systematic Monetary Policy and the Effects of Oil Price Shocks (1997)Oil prices, US stock return, and the dependence between their quantiles (2015)Energy shocks and financial markets (1996)Oil price shocks and stock markets in the U.S. and 13 European countries (2008)Investigating Causal Relations by Econometric Models and Cross-Spectral Methods (2010)Risk, Return, and Equilibrium: Empirical Tests (1973)The arbitrage theory of capital asset pricing (1976)Industry costs of equity (1997)Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH (2001)International Stock Return Comovements (2005)High dimensional covariance matrix estimation using a factor model (2008)Time Series Analysis: Forecasting and Control (1977)Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies (2011)Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR (2012)Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2016)The Cross‐Section of Volatility and Expected Returns (2006)
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References

  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 2002Dynamic Conditional Correlation7,126 cited
  • 2009Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market4,637 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 1983Oil and the Macroeconomy since World War II3,823 cited
  • 2000What is an Oil Shock?2,194 cited
  • n.d.Multivariate GARCH models: a survey2,055 cited
  • 2006Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns1,775 cited
  • 2003Improved estimation of the covariance matrix of stock returns with an application to portfolio selection1,634 cited
  • 1996Oil and the Stock Markets1,611 cited
  • 1998Modeling Asymmetric Comovements of Asset Returns1,588 cited
  • 1989Oil and the Macroeconomy When Prices Go Up and Down: An Extension of Hamilton's Results1,557 cited
  • 2013THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL1,439 cited
  • 2008The Economic Effects of Energy Price Shocks1,299 cited
  • 2010Financial development and energy consumption in Central and Eastern European frontier economies

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855 cited
  • 2005Oil price shocks and real GDP growth: empirical evidence for some OECD countries843 cited
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    • 2021Dynamic asymmetric optimal portfolio allocation between energy stocks and energy commodities: Evidence from clean energy and oil and gas companies70 cited
    • 2020Extreme risk spillovers between crude oil prices and the U.S. exchange rate: Evidence from oil-exporting and oil-importing countries68 cited
    • 2022COVID-19 pandemic’s impact on intraday volatility spillover between oil, gold, and stock markets68 cited