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Multifractal analysis of the WTI crude oil market, US stock market and EPU
16 references·0 citing·43 second hop
Multifractal analysis of the WTI crude oil market, US stock market and EPU (2020)Multifractal analysis of the WTI crude oi…Measuring Economic Policy Uncertainty* (2016)Measuring Economic Policy Unc…Economic policy uncertainty and stock market volatility (2015)Economic policy uncertainty a…Volatility spillovers between oil prices and stock sector returns: Implications for portfolio management (2011)Volatility spillovers between…Statistical tests for power-law cross-correlated processes (2011)Statistical tests for power-l…Detrending moving average algorithm for multifractals (2010)Detrending moving average alg…An empirical analysis of herd behavior in global stock markets (2010)An empirical analysis of herd…THE IMPACT OF OIL PRICE SHOCKS ON THE U.S. STOCK MARKET* (2009)THE IMPACT OF OIL PRICE SHOCK…Quantifying cross-correlations using local and global detrending approaches (2009)Quantifying cross-correlation…Cross-correlations between volume change and price change (2009)Cross-correlations between vo…Multifractal detrended cross-correlation analysis for two nonstationary signals (2008)Multifractal detrended cross-…Detrended Cross-Correlation Analysis: A New Method for Analyzing Two Nonstationary Time Series (2008)Detrended Cross-Correlation A…Oil prices and the stock prices of alternative energy companies (2007)Oil prices and the stock pric…Second-order moving average and scaling of stochastic time series (2002)Second-order moving average a…Multifractal detrended fluctuation analysis of nonstationary time series (2002)Multifractal detrended fluctu…Oil price shocks and stock market activity (1999)Oil price shocks and stock ma…Oil and the Stock Markets (1996)Oil and the Stock MarketsStock Returns, Real Activity, Inflation, and Money (1981)What is an Oil Shock? (2000)Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market (2009)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)The impact of institutional trading on stock prices (1992)Extreme Correlation of International Equity Markets (2001)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Cross-country effects in herding behaviour: Evidence from four south European markets (2011)Investor herding behaviour of Chinese stock market (2013)Herding on fundamental information: A comparative study (2014)Economic Forces and the Stock Market (1986)Statistical inference in vector autoregressions with possibly integrated processes (1995)Generalized impulse response analysis in linear multivariate models (1998)Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies (2011)Oil prices, exchange rates and emerging stock markets (2011)Time and frequency dynamics of connectedness between renewable energy stocks and crude oil prices (2018)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH (2015)Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2016)The directional volatility connectedness between crude oil and equity markets: New evidence from implied volatility indexes (2016)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)Detecting long-range correlations with detrended fluctuation analysis (2001)DCCA cross-correlation coefficient: Quantifying level of cross-correlation (2010)Fractional Differencing (1981)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Oil and the Macroeconomy since World War II (1983)Energy shocks and financial markets (1996)Investigating Causal Relations by Econometric Models and Cross-Spectral Methods (2010)The Role of Monetary Policy (1995)The Impact of Uncertainty Shocks (2009)Measuring Uncertainty (2015)COVID-19 pandemic, oil prices, stock market, geopolitical risk and policy uncertainty nexus in the US economy: Fresh evidence from the wavelet-based approach (2020)The Unprecedented Stock Market Reaction to COVID-19 (2020)Measuring Geopolitical Risk (2022)Introduction to Multifractal Detrended Fluctuation Analysis in Matlab (2012)Physical approach to complex systems (2012)
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References

  • 2016Measuring Economic Policy Uncertainty*12,311 cited
  • 2002Multifractal detrended fluctuation analysis of nonstationary time series3,650 cited
  • 2009THE IMPACT OF OIL PRICE SHOCKS ON THE U.S. STOCK MARKET*1,837 cited
  • 1999Oil price shocks and stock market activity1,798 cited
  • 1996Oil and the Stock Markets1,611 cited
  • 2008Detrended Cross-Correlation Analysis: A New Method for Analyzing Two Nonstationary Time Series1,476 cited
  • 2010An empirical analysis of herd behavior in global stock markets880 cited
  • 2007Oil prices and the stock prices of alternative energy companies843 cited
  • 2008Multifractal detrended cross-correlation analysis for two nonstationary signals769 cited
  • 2011Volatility spillovers between oil prices and stock sector returns: Implications for portfolio management666 cited
  • 2009Cross-correlations between volume change and price change631 cited
  • 2015Economic policy uncertainty and stock market volatility538 cited
  • 2011Statistical tests for power-law cross-correlated processes443 cited
  • 2010Detrending moving average algorithm for multifractals440 cited
  • 2009Quantifying cross-correlations using local and global detrending approaches

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424 cited
  • 2002Second-order moving average and scaling of stochastic time series408 cited
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