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Oil shocks and volatility of green investments: GARCH-MIDAS analyses
16 references·0 citing·42 second hopsampled
Oil shocks and volatility of green investments: GARCH-MIDAS analyses (2022)Oil shocks and volatility of green invest…Volatility Spillovers between Equity and Green Bond Markets (2020)Volatility Spillovers between…Oil price shocks, geopolitical risks, and green bond market dynamics (2020)Oil price shocks, geopolitica…Do green investments react to oil price shocks? Implications for sustainable development (2020)Do green investments react to…Are green bonds environmentally friendly and good performing assets? (2020)Are green bonds environmental…Time-varying relation between black and green bond price benchmarks: Macroeconomic determinants for the first decade (2019)Time-varying relation between…Structural Interpretation of Vector Autoregressions with Incomplete Identification: Revisiting the Role of Oil Supply and Demand Shocks (2019)Structural Interpretation of …International crude oil prices and the stock prices of clean energy and technology companies: Evidence from non-linear cointegration tests with unknown structural breaks (2016)International crude oil price…Modeling oil price–US stock nexus: A VARMA–BEKK–AGARCH approach (2015)Modeling oil price–US stock n…The Impact of Oil Price Shocks on U.S. Bond Market Returns (2014)The Impact of Oil Price Shock…Stock Market Volatility and Macroeconomic Fundamentals (2012)Stock Market Volatility and M…Oil Prices and the Stock Market (2012)Oil Prices and the Stock Mark…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 …A component model for dynamic correlations (2009)A component model for dynamic…Understanding Crude Oil Prices (2008)Understanding Crude Oil PricesExogenous Oil Supply Shocks: How Big Are They and How Much Do They Matter for the U.S. Economy? (2008)Exogenous Oil Supply Shocks: …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)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2016)Drivers of green bond market growth: The importance of Nationally Determined Contributions to the Paris Agreement and implications for sustainability (2019)Forecasting: theory and practice (2022)Oil and the Macroeconomy since World War II (1983)This is what happened to the oil price-macroeconomy relationship (1996)What is an Oil Shock? (2000)The Economics of Exhaustible Resources (1931)Positive Feedback Investment Strategies and Destabilizing Rational Speculation (1990)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Causes and Consequences of the Oil Shock of 2007-08 (2009)Carbon Taxes, Path Dependency, and Directed Technical Change: Evidence from the Auto Industry (2016)Systematic Monetary Policy and the Effects of Oil Price Shocks (1997)The Economic Effects of Energy Price Shocks (2008)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Bounds testing approaches to the analysis of level relationships (2001)Oil price uncertainty and clean energy stock returns: New evidence from crude oil volatility index (2017)Time-frequency connectedness among clean-energy stocks and fossil fuel markets: Comparison between financial, oil and pandemic crisis (2021)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)Dynamic Conditional Correlation (2002)Measuring Economic Policy Uncertainty* (2016)Price connectedness between green bond and financial markets (2019)Green bonds for sustainable development: Review of literature on development and impact of green bonds (2021)Quantile time–frequency price connectedness between green bond, green equity, sustainable investments and clean energy markets (2022)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Assessing the impact of industrial robots on manufacturing energy intensity in 38 countries (2021)Regional gap and the trend of green finance development in China (2021)How does green finance affect green total factor productivity? Evidence from China (2022)Industry costs of equity (1997)Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence (2018)Oil price shocks, global financial markets and their connectedness (2020)Predicting stock returns in the presence of COVID-19 pandemic: The role of health news (2020)
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References

  • 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
  • 2008Understanding Crude Oil Prices1,270 cited
  • 2012Stock Market Volatility and Macroeconomic Fundamentals1,140 cited
  • 2008Exogenous Oil Supply Shocks: How Big Are They and How Much Do They Matter for the U.S. Economy?926 cited
  • 2019Structural Interpretation of Vector Autoregressions with Incomplete Identification: Revisiting the Role of Oil Supply and Demand Shocks917 cited
  • 2012Oil Prices and the Stock Market435 cited
  • 2016International crude oil prices and the stock prices of clean energy and technology companies: Evidence from non-linear cointegration tests with unknown structural breaks361 cited
  • 2019Time-varying relation between black and green bond price benchmarks: Macroeconomic determinants for the first decade354 cited
  • 2020Oil price shocks, geopolitical risks, and green bond market dynamics342 cited
  • 2009A component model for dynamic correlations301 cited
  • 2020Are green bonds environmentally friendly and good performing assets?255 cited
  • 2020Do green investments react to oil price shocks? Implications for sustainable development214 cited
  • 2015Modeling oil price–US stock nexus: A VARMA–BEKK–AGARCH approach

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209 cited
  • 2014The Impact of Oil Price Shocks on U.S. Bond Market Returns130 cited
  • 2020Volatility Spillovers between Equity and Green Bond Markets128 cited
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