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The hedging effectiveness of industrial metals against different oil shocks: Evidence from the four newly developed oil shocks datasets
16 references·4 citing·40 second hopsampled
The hedging effectiveness of industrial metals against different oil shocks: Evidence from the four newly developed oil shocks datasets (2020)The hedging effectiveness of industrial m…Structural Interpretation of Vector Autoregressions with Incomplete Identification: Revisiting the Role of Oil Supply and Demand Shocks (2019)Structural Interpretation of …Is gold a hedge or safe haven against oil price movements? (2013)Is gold a hedge or safe haven…WHY AGNOSTIC SIGN RESTRICTIONS ARE NOT ENOUGH: UNDERSTANDING THE DYNAMICS OF OIL MARKET VAR MODELS (2012)WHY AGNOSTIC SIGN RESTRICTION…Oil Prices and the Stock Market (2012)Oil Prices and the Stock Mark…Dynamic transmission effects between the interest rate, the US dollar, and gold and crude oil prices (2012)Dynamic transmission effects …The macroeconomic determinants of volatility in precious metals markets (2010)The macroeconomic determinant…The crude oil market and the gold market: Evidence for cointegration, causality and price discovery (2010)The crude oil market and the …Gold and oil futures markets: Are markets efficient? (2010)Gold and oil futures markets:…THE 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 …Dynamics of oil price, precious metal prices, and exchange rate (2009)Dynamics of oil price, precio…Do structural oil-market shocks affect stock prices? (2009)Do structural oil-market shoc…Oil spills on other commodities (2007)Oil spills on other commoditi…Are Oil Shocks Inflationary?: Asymmetric and Nonlinear Specifications versus Changes in Regime (2002)Are Oil Shocks Inflationary?:…Bounds testing approaches to the analysis of level relationships (2001)Bounds testing approaches to …Oil and the Stock Markets (1996)Oil and the Stock MarketsReturns and volatility connectedness among the Eurozone equity markets (2023)Returns and volatility connec…Oil shocks and volatility of green investments: GARCH-MIDAS analyses (2022)Oil shocks and volatility of …Dynamic volatility connectedness between industrial metal markets (2022)Dynamic volatility connectedn…An analysis of the time-varying causality and dynamic correlation between green bonds and US gas prices (2022)An analysis of the time-varyi…What are the effects of monetary policy on output? Results from an agnostic identification procedure (2005)The Economic Effects of Energy Price Shocks (2008)Is the Phillips Curve Alive and Well after All? Inflation Expectations and the Missing Disinflation (2015)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The saving and investment nexus for China: evidence from cointegration tests (2005)An econometric study of CO2 emissions, energy consumption, income and foreign trade in Turkey (2009)Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)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)Oil prices, US stock return, and the dependence between their quantiles (2015)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)This is what happened to the oil price-macroeconomy relationship (1996)Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory* (2000)Oil Shocks and Aggregate Macroeconomic Behavior: The Role of Monetary Policy: A Comment (2004)Oil price shocks and stock markets in the U.S. and 13 European countries (2008)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Testing for unit roots in heterogeneous panels (2003)Oil prices, exchange rates and emerging stock markets (2011)Volatility spillovers between oil prices and stock sector returns: Implications for portfolio management (2011)Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates (2012)Systematic Monetary Policy and the Effects of Oil Price Shocks (1997)What is an Oil Shock? (2000)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Oil price shocks and stock market activity (1999)Investigating Causal Relations by Econometric Models and Cross-Spectral Methods (2008)Oil and the Macroeconomy since World War II (1983)THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL (2013)US Monetary Policy and the Global Financial Cycle (2015)U.S. Monetary Policy and the Global Financial Cycle (2020)The Macroeconomic Effects of Oil Supply News: Evidence from OPEC Announcements (2021)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)Food price volatility (2010)Oil price, agricultural commodity prices, and the dollar: A panel cointegration and causality analysis (2011)Dynamic linkages among oil price, gold price, exchange rate, and stock market in India (2016)The directional volatility connectedness between crude oil and equity markets: New evidence from implied volatility indexes (2016)Forecasting gold price with the XGBoost algorithm and SHAP interaction values (2021)
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References

  • 2001Bounds testing approaches to the analysis of level relationships21,232 cited
  • 2009Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market4,704 cited
  • 2009THE IMPACT OF OIL PRICE SHOCKS ON THE U.S. STOCK MARKET*1,871 cited
  • 1996Oil and the Stock Markets1,641 cited
  • 2019Structural Interpretation of Vector Autoregressions with Incomplete Identification: Revisiting the Role of Oil Supply and Demand Shocks917 cited
  • 2002Are Oil Shocks Inflationary?: Asymmetric and Nonlinear Specifications versus Changes in Regime737 cited
  • 2009Do structural oil-market shocks affect stock prices?715 cited
  • 2012WHY AGNOSTIC SIGN RESTRICTIONS ARE NOT ENOUGH: UNDERSTANDING THE DYNAMICS OF OIL MARKET VAR MODELS543 cited
  • 2009Dynamics of oil price, precious metal prices, and exchange rate504 cited
  • 2007Oil spills on other commodities454 cited
  • 2012Oil Prices and the Stock Market435 cited
  • 2010The crude oil market and the gold market: Evidence for cointegration, causality and price discovery405 cited
  • 2010The macroeconomic determinants of volatility in precious metals markets395 cited
  • 2013Is gold a hedge or safe haven against oil price movements?362 cited
  • 2010

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Gold and oil futures markets: Are markets efficient?
238 cited
  • 2012Dynamic transmission effects between the interest rate, the US dollar, and gold and crude oil prices194 cited
  • Cited by

    • 2022An analysis of the time-varying causality and dynamic correlation between green bonds and US gas prices58 cited
    • 2022Oil shocks and volatility of green investments: GARCH-MIDAS analyses48 cited
    • 2022Dynamic volatility connectedness between industrial metal markets20 cited
    • 2023Returns and volatility connectedness among the Eurozone equity markets17 cited