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Volatility Spillovers Across Petroleum Markets
16 references·1 citing·38 second hopsampled
Volatility Spillovers Across Petroleum Markets (2014)Volatility Spillovers Across Petroleum Ma…Financialization of Commodity Markets (2013)Financialization of Commodity…Index Investment and the Financialization of Commodities (2012)Index Investment and the Fina…Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Better to give than to receiv…Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market (2009)Not All Oil Price Shocks Are …Understanding Crude Oil Prices (2008)Understanding Crude Oil PricesMeasuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Measuring Financial Asset Ret…Is the 2007 U.S. Sub-Prime Financial Crisis So Different? An International Historical Comparison (2008)Is the 2007 U.S. Sub-Prime Fi…Exogenous Oil Supply Shocks: How Big Are They and How Much Do They Matter for the U.S. Economy? (2008)Exogenous Oil Supply Shocks: …Facts and Fantasies about Commodity Futures (2006)Facts and Fantasies about Com…Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Econometric Analysis of Reali…The Distribution of Realized Exchange Rate Volatility (2001)The Distribution of Realized …Generalized impulse response analysis in linear multivariate models (1998)Generalized impulse response …This is what happened to the oil price-macroeconomy relationship (1996)This is what happened to the …Impulse response analysis in nonlinear multivariate models (1996)Impulse response analysis in …Oil and the Macroeconomy since World War II (1983)Oil and the Macroeconomy sinc…On the Estimation of Security Price Volatilities from Historical Data (1980)On the Estimation of Security…Asymmetric Volatility Spillovers: Revisiting the Diebold-Yilmaz (2009) Spillover Index with Realized Semivariance (2013)Asymmetric Volatility Spillov…Stochastic Simulation (1987)How Big Is the Random Walk in GNP? (1988)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms (2011)Oil and the Macroeconomy When Prices Go Up and Down: An Extension of Hamilton's Results (1989)What happened to the oil price-macroeconomy relationship? (1996)Has the Business Cycle Changed and Why? (2002)Macroeconomics and Reality (1980)Dynamic Conditional Correlation (2002)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)Oil price shocks and stock market activity (1999)Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory* (2000)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Systematic Monetary Policy and the Effects of Oil Price Shocks (1997)What is an Oil Shock? (2000)The Economic Effects of Energy Price Shocks (2008)THE IMPACT OF OIL PRICE SHOCKS ON THE U.S. STOCK MARKET* (2009)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)Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatility Change Over Time? (1989)Forecasting, Structural Time Series Models and the Kalman Filter (1990)Modeling and Forecasting Realized Volatility (2003)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)A Simple Approximate Long-Memory Model of Realized Volatility (2008)The Pricing of Options and Corporate Liabilities (1973)The valuation of options for alternative stochastic processes (1976)Estimating betas from nonsynchronous data (1977)Theory of Financial Decision Making. (1988)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Expected stock returns and volatility (1987)The Pricing of Options on Assets with Stochastic Volatilities (1987)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)
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References

  • 1998Generalized impulse response analysis in linear multivariate models6,129 cited
  • 2011Better to give than to receive: Predictive directional measurement of volatility spillovers6,033 cited
  • 1996Impulse response analysis in nonlinear multivariate models5,071 cited
  • 2009Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market4,704 cited
  • 1983Oil and the Macroeconomy since World War II3,892 cited
  • 2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets3,380 cited
  • 2002Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models2,224 cited
  • 2001The Distribution of Realized Exchange Rate Volatility2,138 cited
  • 1996This is what happened to the oil price-macroeconomy relationship1,684 cited
  • 1980On the Estimation of Security Price Volatilities from Historical Data1,544 cited
  • 2006Facts and Fantasies about Commodity Futures1,389 cited
  • 2012Index Investment and the Financialization of Commodities1,333 cited
  • 2008Understanding Crude Oil Prices1,270 cited
  • 2008Is the 2007 U.S. Sub-Prime Financial Crisis So Different? An International Historical Comparison993 cited
  • 2008

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Exogenous Oil Supply Shocks: How Big Are They and How Much Do They Matter for the U.S. Economy?
926 cited
  • 2013Financialization of Commodity Markets808 cited
  • Cited by

    • 2013Asymmetric Volatility Spillovers: Revisiting the Diebold-Yilmaz (2009) Spillover Index with Realized Semivariance468 cited