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Oil price volatility and the logistics industry: Dynamic connectedness with portfolio implications
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Oil price volatility and the logistics industry: Dynamic connectedness with portfolio implications (2021)Oil price volatility and the logistics in…On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms (2011)On the Network Topology of Va…Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Better to give than to receiv…THE IMPACT OF OIL PRICE SHOCKS ON THE U.S. STOCK MARKET* (2009)THE IMPACT OF OIL PRICE SHOCK…The Economic Effects of Energy Price Shocks (2008)The Economic Effects of Energ…Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Measuring Financial Asset Ret…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Optimization of conditional value-at-risk (2000)Optimization of conditional v…Oil price shocks and stock market activity (1999)Oil price shocks and stock ma…Coherent Measures of Risk (1999)Coherent Measures of RiskThis is what happened to the oil price-macroeconomy relationship (1996)This is what happened to the …Energy shocks and financial markets (1996)Energy shocks and financial m…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Stock Prices, Earnings and Expected Dividends (1988)Stock Prices, Earnings and Ex…Economic Forces and the Stock Market (1986)Economic Forces and the Stock…Oil and the Macroeconomy since World War II (1983)Oil and the Macroeconomy sinc…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)An Intertemporal Capital Asset Pricing Model (1973)Risk, Return, and Equilibrium: Empirical Tests (1973)The arbitrage theory of capital asset pricing (1976)Efficient Capital Markets: II (1991)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)An Overview of Value at Risk (1997)Modelling Extremal Events (1997)Theory of rational option pricing (2005)Macroeconomics and Reality (1980)Generalized impulse response analysis in linear multivariate models (1998)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Comparing alternative tests of causality in temporal systems (1983)Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory* (2000)What is an Oil Shock? (2000)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Cross‐Section of Volatility and Expected Returns (2006)Correlations in Price Changes and Volatility across International Stock Markets (1990)Transmission of Volatility between Stock Markets (1990)Is the correlation in international equity returns constant: 1960–1990? (1995)Aggregate Confusion: The Divergence of ESG Ratings (2019)On the Estimation of Security Price Volatilities from Historical Data (1980)Conditional value-at-risk for general loss distributions (2002)Lectures on Stochastic Programming (2009)Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems (2010)SRISK: A Conditional Capital Shortfall Measure of Systemic Risk (2016)
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References

  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,063 cited
  • 1999Coherent Measures of Risk8,849 cited
  • 2002Dynamic Conditional Correlation7,229 cited
  • 2000Optimization of conditional value-at-risk6,722 cited
  • 2011Better to give than to receive: Predictive directional measurement of volatility spillovers6,033 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • 2011On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms4,943 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,735 cited
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  • 2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets3,380 cited
  • 1988Stock Prices, Earnings and Expected Dividends2,656 cited
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  • 1999Oil price shocks and stock market activity1,823 cited
  • 1996This is what happened to the oil price-macroeconomy relationship1,684 cited
  • 2008The Economic Effects of Energy Price Shocks1,333 cited

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  • 1996Energy shocks and financial markets1,099 cited
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