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Dynamic complexity and causality of crude oil and major stock markets
16 references·3 citing·31 second hop
Dynamic complexity and causality of crude oil and major stock markets (2019)Dynamic complexity and causality of crude…Dispersion Entropy: A Measure for Time-Series Analysis (2016)Dispersion Entropy: A Measure…Oil prices, exchange rates and emerging stock markets (2011)Oil prices, exchange rates an…Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries (2011)Dynamic correlation between s…Limits of Arbitrage (2010)Limits of ArbitrageTHE 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 …How sensitive are consumer expenditures to retail energy prices? (2009)How sensitive are consumer ex…Granger Causality and Transfer Entropy Are Equivalent for Gaussian Variables (2009)Granger Causality and Transfe…Symbolic Transfer Entropy (2008)Symbolic Transfer EntropyEnergy prices and aggregate economic activity: an interpretative survey (2002)Energy prices and aggregate e…What is an Oil Shock? (2000)What is an Oil Shock?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…Approximate entropy as a measure of system complexity. (1991)Approximate entropy as a meas…Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Investigating Causal Relation…Energy infrastructure: Investment, sustainability and AI (2024)Energy infrastructure: Invest…Dynamic interlinkages between carbon risk and volatility of green and renewable energy: A TVP-VAR analysis (2024)Dynamic interlinkages between…Multiscale spillovers, connectedness, and portfolio management among precious and industrial metals, energy, agriculture, and livestock futures (2021)Multiscale spillovers, connec…Economic Forces and the Stock Market (1986)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)The Econometrics of Financial Markets (2012)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)Irreversibility, Uncertainty, and Cyclical Investment (1980)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Output Fluctuations in the United States: What Has Changed Since the Early 1980's? (2000)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Generalized autoregressive conditional heteroskedasticity (1986)Testing for a Unit Root in Time Series Regression (1988)Oil price shocks and stock markets in the U.S. and 13 European countries (2008)Measurement of Linear Dependence and Feedback Between Multiple Time Series (1982)Kernel Method for Nonlinear Granger Causality (2008)Practical Measures of Integrated Information for Time-Series Data (2011)Unraveling the cause-effect relation between time series (2014)Cross-lagged panel networks (2025)Systematic Monetary Policy and the Effects of Oil Price Shocks (1997)The Economic Effects of Energy Price Shocks (2008)Investigating Causal Relations by Econometric Models and Cross-Spectral Methods (2008)MONEY, INCOME, AND CAUSALITY (1972)Oil and the Macroeconomy since World War II (1983)Measuring complexity using FuzzyEn, ApEn, and SampEn (2008)Electroencephalogram and electrocardiograph assessment of mental fatigue in a driving simulator (2011)Emotion recognition using multi-modal data and machine learning techniques: A tutorial and review (2020)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Testing for Granger non-causality in heterogeneous panels (2012)Refined composite multivariate generalized multiscale fuzzy entropy: A tool for complexity analysis of multichannel signals (2016)Amplitude- and Fluctuation-Based Dispersion Entropy (2018)EntropyHub: An open-source toolkit for entropic time series analysis (2021)
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References

  • 1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods23,139 cited
  • 1991Approximate entropy as a measure of system complexity.5,889 cited
  • 2009Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market4,704 cited
  • 2000What is an Oil Shock?2,212 cited
  • 2009THE IMPACT OF OIL PRICE SHOCKS ON THE U.S. STOCK MARKET*1,871 cited
  • 1999Oil price shocks and stock market activity1,823 cited
  • 1996Oil and the Stock Markets1,641 cited
  • 2009Granger Causality and Transfer Entropy Are Equivalent for Gaussian Variables1,171 cited
  • 1996Energy shocks and financial markets1,099 cited
  • 2016Dispersion Entropy: A Measure for Time-Series Analysis816 cited
  • 2011Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries764 cited
  • 2011Oil prices, exchange rates and emerging stock markets729 cited
  • 2008Symbolic Transfer Entropy596 cited
  • 2002Energy prices and aggregate economic activity: an interpretative survey587 cited
  • 2009How sensitive are consumer expenditures to retail energy prices?580 cited

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  • 2010Limits of Arbitrage535 cited
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    • 2024Dynamic interlinkages between carbon risk and volatility of green and renewable energy: A TVP-VAR analysis51 cited
    • 2021Multiscale spillovers, connectedness, and portfolio management among precious and industrial metals, energy, agriculture, and livestock futures47 cited
    • 2024Energy infrastructure: Investment, sustainability and AI15 cited