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Volatility spillovers for energy prices: A diagonal BEKK approach
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Volatility spillovers for energy prices: A diagonal BEKK approach (2020)Volatility spillovers for energy prices: …On the links between stock and commodity markets' volatility (2013)On the links between stock an…Oil price shocks and stock market returns: Evidence for some European countries (2013)Oil price shocks and stock ma…Oil price shocks and stock market activities: Evidence from oil-importing and oil-exporting countries (2013)Oil price shocks and stock ma…Volatility spillovers between oil prices and stock sector returns: Implications for portfolio management (2011)Volatility spillovers between…Oil prices, exchange rates and emerging stock markets (2011)Oil prices, exchange rates an…THE IMPACT OF OIL PRICE SHOCKS ON THE U.S. STOCK MARKET* (2009)THE IMPACT OF OIL PRICE SHOCK…Do structural oil-market shocks affect stock prices? (2009)Do structural oil-market shoc…Relationships between oil price shocks and stock market: An empirical analysis from China (2008)Relationships between oil pri…Oil price shocks and stock markets in the U.S. and 13 European countries (2008)Oil price shocks and stock ma…Oil prices and the stock prices of alternative energy companies (2007)Oil prices and the stock pric…Oil prices and real exchange rates (2006)Oil prices and real exchange …ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL (2003)ASYMPTOTIC THEORY FOR A VECTO…Energy prices and aggregate economic activity: an interpretative survey (2002)Energy prices and aggregate e…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Modelling the Coherence in Sh…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)STOCK PRICES, 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)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)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)Time and frequency dynamics of connectedness between renewable energy stocks and crude oil prices (2018)A Capital Asset Pricing Model with Time-Varying Covariances (1988)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Testing for unit roots in heterogeneous panels (2003)Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates (2012)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes (2004)Testing for a Unit Root in Time Series Regression (1988)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Renewable energy consumption, CO2 emissions and oil prices in the G7 countries (2009)Efficient Tests for an Autoregressive Unit Root (1996)Oil price shocks and stock market returns: New evidence from the United States and China (2014)Revisiting the oil price and stock market nexus: A nonlinear Panel ARDL approach (2017)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)
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  • 2013On the links between stock and commodity markets' volatility

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559 cited
  • 2013Oil price shocks and stock market returns: Evidence for some European countries380 cited
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