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Co-movement and Dynamic Correlation of Financial and Energy Markets: An Integrated Framework of Nonlinear Dynamics, Wavelet Analysis and DCC-GARCH
16 references·1 citing·46 second hop
Co-movement and Dynamic Correlation of Financial and Energy Markets: An Integrated Framework of Nonlinear Dynamics, Wavelet Analysis and DCC-GARCH (2020)Co-movement and Dynamic Correlation of Fi…A deep learning ensemble approach for crude oil price forecasting (2017)A deep learning ensemble appr…Wavelet-based test of co-movement and causality between oil and renewable energy stock prices (2016)Wavelet-based test of co-move…Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH (2015)Hedging emerging market stock…Analyzing volatility spillovers and hedging between oil and stock markets: Evidence from wavelet analysis (2015)Analyzing volatility spillove…A novel hybrid method for crude oil price forecasting (2015)A novel hybrid method for cru…Co-movement of international crude oil price and Indian stock market: Evidences from nonlinear cointegration tests (2014)Co-movement of international …The time-varying correlation between uncertainty, output, and inflation: Evidence from a DCC-GARCH model (2012)The time-varying correlation …Forecasting stock indices with back propagation neural network (2011)Forecasting stock indices wit…Oil prices and the stock prices of alternative energy companies (2007)Oil prices and the stock pric…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…An Introduction to Wavelets and Other Filtering Methods in Finance and Economics (2002)An Introduction to Wavelets a…Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH (2001)Theoretical and Empirical pro…An Introduction to Econophysics: Correlations and Complexity in Finance (2000)An Introduction to Econophysi…Introduction to Econophysics (1999)Introduction to EconophysicsOil and the Stock Markets (1996)Oil and the Stock MarketsTime-Varying Distributions and Dynamic Hedging with Foreign Currency Futures (1993)Time-Varying Distributions an…Systemic Risk Spillovers in the European Energy Sector (2021)Systemic Risk Spillovers in t…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)ARCH modeling in finance (1992)Multivariate Simultaneous Generalized ARCH (1995)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)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)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Testing for a Unit Root in Time Series Regression (1988)Modeling Asymmetric Comovements of Asset Returns (1998)Financial contagion during COVID–19 crisis (2020)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)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)Oil prices, US stock return, and the dependence between their quantiles (2015)Portfolio Selection: Efficient Diversification of Investments (1959)The Pricing of Options and Corporate Liabilities (1973)Generalized autoregressive conditional heteroskedasticity (1986)Universal and Nonuniversal Properties of Cross Correlations in Financial Time Series (1999)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Random matrix approach to cross correlations in financial data (2002)The Econometrics of Financial Markets (1997)Dynamic Conditional Correlation - a Simple Class of Multivariate GARCH Models (2000)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)The Copula-GARCH model of conditional dependencies: An international stock market application (2006)The Econometrics of Financial Markets (2012)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Asymmetric impact of gold, oil prices and their volatilities on stock prices of emerging markets (2016)Safe haven, hedge and diversification for G7 stock markets: Gold versus bitcoin (2019)Is Gold a Hedge or a Safe-Haven Asset in the COVID–19 Crisis? (2020)Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation (1994)Oil price uncertainty and clean energy stock returns: New evidence from crude oil volatility index (2017)Oil price shocks, geopolitical risks, and green bond market dynamics (2020)Time-frequency connectedness among clean-energy stocks and fossil fuel markets: Comparison between financial, oil and pandemic crisis (2021)International comovement of stock market returns: A wavelet analysis (2009)Does Bitcoin hedge global uncertainty? Evidence from wavelet-based quantile-in-quantile regressions (2017)Scaling of the distribution of fluctuations of financial market indices (1999)A tool for filtering information in complex systems (2005)
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References

  • 2002Dynamic Conditional Correlation7,126 cited
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  • 2015Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH547 cited
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  • 2011Forecasting stock indices with back propagation neural network487 cited
  • 2017A deep learning ensemble approach for crude oil price forecasting383 cited
  • 2015A novel hybrid method for crude oil price forecasting272 cited
  • 2015Analyzing volatility spillovers and hedging between oil and stock markets: Evidence from wavelet analysis266 cited
  • 2014

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Co-movement of international crude oil price and Indian stock market: Evidences from nonlinear cointegration tests
223 cited
  • 2012The time-varying correlation between uncertainty, output, and inflation: Evidence from a DCC-GARCH model193 cited
  • Cited by

    • 2021Systemic Risk Spillovers in the European Energy Sector19 cited