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Crude oil price shocks, volatility spillovers, and global systemic financial risk transmission mechanisms: Evidence from the stock and foreign exchange markets
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Crude oil price shocks, volatility spillovers, and global systemic financial risk transmission mechanisms: Evidence from the stock and foreign exchange markets (2023)Crude oil price shocks, volatility spillo…The Unprecedented Stock Market Impact of COVID-19 (2020)The Unprecedented Stock Marke…Searching for safe-haven assets during the COVID-19 pandemic (2020)Searching for safe-haven asse…Structural Interpretation of Vector Autoregressions with Incomplete Identification: Revisiting the Role of Oil Supply and Demand Shocks (2019)Structural Interpretation of …Dutch Disease or Agglomeration? The Local Economic Effects of Natural Resource Booms in Modern America (2017)Dutch Disease or Agglomeratio…Contagion in Financial Networks (2016)Contagion in Financial Networ…A Model of Financialization of Commodities (2016)A Model of Financialization o…Dynamic spillovers of oil price shocks and economic policy uncertainty (2014)Dynamic spillovers of oil pri…Oil Prices and the Stock Market (2012)Oil Prices and the Stock Mark…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…Expected Stock Returns and Variance Risk Premia (2009)Expected Stock Returns and Va…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Modeling Asymmetric Comovements of Asset Returns (1998)Modeling Asymmetric Comovemen…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Oil Prices and Exchange Rates (1983)Oil Prices and Exchange RatesModelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)ARCH modeling in finance (1992)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)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)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)The Cross-Section of Expected Stock Returns (1992)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Common risk factors in the returns on stocks and bonds (1993)Bond Risk Premia (2005)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Liquidity and leverage (2008)Oil and the Macroeconomy since World War II (1983)Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market (2009)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)COVID-19 and the march 2020 stock market crash. Evidence from S&P1500 (2020)Feverish Stock Price Reactions to COVID-19* (2020)Financial contagion during COVID–19 crisis (2020)Infected Markets: Novel Coronavirus, Government Interventions, and Stock Return Volatility around the Globe (2020)Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold (2010)Is gold a safe haven? International evidence (2010)Financial markets under the global pandemic of COVID-19 (2020)Is Gold a Hedge or a Safe-Haven Asset in the COVID–19 Crisis? (2020)Return connectedness across asset classes around the COVID-19 outbreak (2020)Crude Oil futures contracts and commodity markets: New evidence from a TVP-VAR extended joint connectedness approach (2021)The Cross‐Section of Volatility and Expected Returns (2006)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 Stocks9,041 cited
  • 2002Dynamic Conditional Correlation7,126 cited
  • 2011Better to give than to receive: Predictive directional measurement of volatility spillovers5,889 cited
  • 2011On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms4,842 cited
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  • 2014Dynamic spillovers of oil price shocks and economic policy uncertainty

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435 cited
  • 2012Oil Prices and the Stock Market435 cited
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