SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Connectedness between oil price shocks and US sector returns: Evidence from TVP-VAR and wavelet decomposition
16 references·0 citing·37 second hop
Connectedness between oil price shocks and US sector returns: Evidence from TVP-VAR and wavelet decomposition (2024)Connectedness between oil price shocks an…Measuring Geopolitical Risk (2022)Measuring Geopolitical RiskRefined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)Refined Measures of Dynamic C…Measuring Economic Policy Uncertainty* (2016)Measuring Economic Policy Unc…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…Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market (2009)Not All Oil Price Shocks Are …Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Measuring Financial Asset Ret…A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)A Comprehensive Look at The E…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…The Sharpe Ratio (1994)The Sharpe RatioTesting for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Likelihood Ratio Statistics f…Mean-Risk Analysis with Risk Associated with Below-Target Returns (1975)Mean-Risk Analysis with Risk …Mutual Fund Performance (1966)Mutual Fund PerformanceModelling 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)Book Review: Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Macroeconomics and Reality (1980)Generalized impulse response analysis in linear multivariate models (1998)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Bounds testing approaches to the analysis of level relationships (2001)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Trends and random walks in macroeconmic time series (1982)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)A simple panel unit root test in the presence of cross‐section dependence (2007)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 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)Investment under Uncertainty (1994)Investment Under Uncertainty. (1994)The Impact of Uncertainty Shocks (2009)COVID-19 pandemic, oil prices, stock market, geopolitical risk and policy uncertainty nexus in the US economy: Fresh evidence from the wavelet-based approach (2020)The Unprecedented Stock Market Reaction to COVID-19 (2020)Industry costs of equity (1997)Russia–Ukraine crisis: The effects on the European stock market (2022)Advancing green finance: a review of sustainable development (2023)The impact of the Russian-Ukrainian war on global financial markets (2023)SRISK: A Conditional Capital Shortfall Measure of Systemic Risk (2016)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Efficient Capital Markets: II (1991)
this work references cited by second hop

References

  • 1986Generalized autoregressive conditional heteroskedasticity23,378 cited
  • 1988Testing for a Unit Root in Time Series Regression19,420 cited
  • 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root14,677 cited
  • 2016Measuring Economic Policy Uncertainty*12,809 cited
  • 2002Dynamic Conditional Correlation7,229 cited
  • 2011Better to give than to receive: Predictive directional measurement of volatility spillovers6,033 cited
  • 2011On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms4,943 cited
  • 2009Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market4,704 cited
  • 2022Measuring Geopolitical Risk4,303 cited
  • 1966Mutual Fund Performance4,089 cited
  • 2007A Comprehensive Look at The Empirical Performance of Equity Premium Prediction3,984 cited
  • 2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets3,380 cited
  • 1994The Sharpe Ratio2,645 cited
  • 2009THE IMPACT OF OIL PRICE SHOCKS ON THE U.S. STOCK MARKET*1,871 cited
  • 2020Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

1,690 cited
  • 1975Mean-Risk Analysis with Risk Associated with Below-Target Returns1,215 cited
  • Cited by

    No citing works inside the corpus for this window.