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The relationships between petroleum and stock returns: An asymmetric dynamic equi-correlation approach. (2016). Liu, LI ; Pan, Zhiyuan ; Wang, Yudong.
In: Energy Economics.
RePEc:eee:eneeco:v:56:y:2016:i:c:p:453-463.

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Cited: 25

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  1. Causal relationship among international crude oil, gold, exchange rate, and stock market: Fresh evidence from NARDL testing approach. (2023). Singh, Gurcharan ; Kumar, Ankit.
    In: International Journal of Finance & Economics.
    RePEc:wly:ijfiec:v:28:y:2023:i:1:p:47-57.

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  2. Impacts of weather conditions on the US commodity markets systemic interdependence across multi-timescales. (2023). Marco, Chi Keung ; Wang, Qunwei ; Dai, Xingyu ; Zhang, Dongna.
    In: Energy Economics.
    RePEc:eee:eneeco:v:123:y:2023:i:c:s014098832300230x.

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  3. Corporate credit risk counter-cyclical interdependence: A systematic analysis of cross-border and cross-sector correlation dynamics. (2023). Christopoulos, Apostolos ; Zopounidis, Constantin ; Karanasos, Menelaos ; Yfanti, Stavroula.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:304:y:2023:i:2:p:813-831.

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  4. Potential factors in determining cross-border price spillovers in the pork sector: Evidence from net pork-importing countries. (2022). Tanaka, Tetsuji ; Guo, Jin.
    In: Palgrave Communications.
    RePEc:pal:palcom:v:9:y:2022:i:1:d:10.1057_s41599-021-01023-1.

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  5. Modeling stock-oil co-dependence with Dynamic Stochastic MIDAS Copula models. (2022). Nguyen, Hoang ; Virbickaite, Audrone.
    In: Working Papers.
    RePEc:hhs:oruesi:2022_005.

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  6. Dynamic correlation between crude oil and agricultural futures markets. (2022). Kang, Hanwen ; Yan, BO ; Chen, Zhuo.
    In: Review of Development Economics.
    RePEc:bla:rdevec:v:26:y:2022:i:3:p:1798-1849.

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  7. On the Economic fundamentals behind the Dynamic Equicorrelations among Asset classes: Global evidence from Equities, Real estate, and Commodities. (2021). Yfanti, S ; Karanasos, M.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:74:y:2021:i:c:s1042443121000111.

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  8. Oil price volatility and the logistics industry: Dynamic connectedness with portfolio implications. (2021). Kang, Sanghoon ; Dash, Saumya Ranjan ; Ur, Mobeen ; Maitra, Debasish.
    In: Energy Economics.
    RePEc:eee:eneeco:v:102:y:2021:i:c:s0140988321003844.

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  9. Risk spillovers and hedge strategies between global crude oil markets and stock markets: Do regime switching processes combining long memory and asymmetry matter?. (2021). Lin, Ling ; Ou, Yangchen ; Jiang, Yong ; Zhou, Zhongbao.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940821000334.

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  10. Commodity Prices and the Stock Market in Thailand. (2021). Aumeboonsuke, Vesarach.
    In: International Journal of Energy Economics and Policy.
    RePEc:eco:journ2:2021-01-6.

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  11. Dynamic correlation pattern amongst alternative energy market for diversification opportunities. (2020). Ur, Mobeen.
    In: Journal of Economic Structures.
    RePEc:spr:jecstr:v:9:y:2020:i:1:d:10.1186_s40008-020-00197-2.

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  12. International price volatility transmission and structural change: a market connectivity analysis in the beef sector. (2020). Guo, Jin ; Tanaka, Tetsuji.
    In: Palgrave Communications.
    RePEc:pal:palcom:v:7:y:2020:i:1:d:10.1057_s41599-020-00657-x.

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  13. Dynamic Correlation and Risk Contagion Between “Black” Futures in China: A Multi-scale Variational Mode Decomposition Approach. (2020). Wang, Qunwei ; Zhou, Dequn ; Dai, Xingyu.
    In: Computational Economics.
    RePEc:kap:compec:v:55:y:2020:i:4:d:10.1007_s10614-018-9857-y.

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  14. Liner shipping industry and oil price volatility: Dynamic connectedness and portfolio diversification. (2020). Chandra, Saurabh ; Maitra, Debasish ; Dash, Saumya Ranjan.
    In: Transportation Research Part E: Logistics and Transportation Review.
    RePEc:eee:transe:v:138:y:2020:i:c:s136655452030613x.

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  15. Composite hedge and utility maximization for optimal futures hedging. (2020). Feng, Yun ; Cui, Yan.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:68:y:2020:i:c:p:15-32.

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  16. Do the crude oil futures of the Shanghai International Energy Exchange improve asset allocation of Chinese petrochemical-related stocks?. (2020). Yang, Chen ; Lv, Fei ; Fang, Libing.
    In: International Review of Financial Analysis.
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  17. Energy commodity uncertainties and the systematic risk of US industries. (2020). Balli, Faruk ; Naeem, Muhammad Abubakr ; de Bruin, Anne ; Hussain, Syed Jawad.
    In: Energy Economics.
    RePEc:eee:eneeco:v:85:y:2020:i:c:s0140988319303846.

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  18. Time-varying energy and stock market integration in Asia. (2019). Wagner, Niklas ; Batten, Jonathan ; Szilagyi, Peter G ; Kinateder, Harald.
    In: Energy Economics.
    RePEc:eee:eneeco:v:80:y:2019:i:c:p:777-792.

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  19. Risk spillovers between oil and stock markets: A VAR for VaR analysis. (2019). Wang, Yudong ; Wen, Danyan ; Ma, Chaoqun.
    In: Energy Economics.
    RePEc:eee:eneeco:v:80:y:2019:i:c:p:524-535.

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  20. Do high-frequency stock market data help forecast crude oil prices? Evidence from the MIDAS models. (2019). Wang, Jin-Li ; Zhang, Yue-Jun.
    In: Energy Economics.
    RePEc:eee:eneeco:v:78:y:2019:i:c:p:192-201.

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  21. New Insights into the US Stock Market Reactions to Energy Price Shocks. (2018). Shahbaz, Muhammad ; miloudi, anthony ; Lahiani, Amine ; Benkraiem, Ramzi.
    In: MPRA Paper.
    RePEc:pra:mprapa:84778.

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  22. New insights into the US stock market reactions to energy price shocks. (2018). Shahbaz, Muhammad ; Miloudi, Anthony ; Lahiani, Amine ; Benkraiem, Ramzi.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:56:y:2018:i:c:p:169-187.

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  23. Dynamic risk spillovers between gold, oil prices and conventional, sustainability and Islamic equity aggregates and sectors with portfolio implications. (2017). Sensoy, Ahmet ; Mensi, walid ; Hammoudeh, Shawkat ; Kang, Sang Hoon ; Wanas, Idries Mohammad.
    In: Energy Economics.
    RePEc:eee:eneeco:v:67:y:2017:i:c:p:454-475.

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  24. Can stock market investors hedge energy risk? Evidence from Asia. (2017). Wagner, Niklas ; Szilagyi, Peter ; Batten, Jonathan ; Kinateder, Harald.
    In: Energy Economics.
    RePEc:eee:eneeco:v:66:y:2017:i:c:p:559-570.

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  25. Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets. (2017). Yoon, Seong-Min ; McIver, Ron ; Kang, Sang Hoon.
    In: Energy Economics.
    RePEc:eee:eneeco:v:62:y:2017:i:c:p:19-32.

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    RePEc:nbr:nberwo:12295.

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  37. Estimation of multivariate models for time series of possibly different lengths. (2006). Patton, Andrew.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:21:y:2006:i:2:p:147-173.

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  38. Asset allocation under multivariate regime switching. (2006). Guidolin, Massimo ; Timmerman, Allan.
    In: Working Papers.
    RePEc:fip:fedlwp:2005-002.

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  39. Selecting Copulas for Risk Management. (2006). Verbeek, Marno ; Kole, Erik ; Koedijk, Kees .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5652.

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  40. CREDIT RISK MODELS IV: UNDERSTANDING AND PRICING CDOs. (2006). Elizalde, Abel.
    In: Working Papers.
    RePEc:cmf:wpaper:wp2006_0608.

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  41. Structural versus Temporary Drivers of Country and Industry Risk. (2005). Inghelbrecht, Koen ; Baele, Lieven.
    In: International Finance.
    RePEc:wpa:wuwpif:0511005.

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  42. Another look at the relationship between cross-market correlation and volatility. (2005). Bartram, Söhnke ; Wang, Yaw-Huei.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:2:y:2005:i:2:p:75-88.

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  43. Forecasting and Prequential Validation for Time Varying Meta-Elliptical Distributions with a Study of Commodity Futures Prices. (2005). Sancetta, Alessio ; Nikanrova, Arina.
    In: Cambridge Working Papers in Economics.
    RePEc:cam:camdae:0516.

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  44. Firm-level return dispersion and correlation asymmetry: challenges for portfolio diversification. (2004). Demirer, Riza ; Lien, Donald.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:14:y:2004:i:6:p:447-456.

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  45. Asset Pricing with Liquidity Risk. (2004). Pedersen, Lasse ; Acharya, Viral.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10814.

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  46. Flight to Quality, Flight to Liquidity, and the Pricing of Risk. (2004). Vayanos, Dimitri.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10327.

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  47. Regime Switching for Dynamic Correlations. (2004). Pelletier, Denis.
    In: Econometric Society 2004 North American Summer Meetings.
    RePEc:ecm:nasm04:230.

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  48. ARE VECTOR AUTOREGRESSIONS AND ACCURATE MODEL FOR DYNAMIC ASSET ALLOCATION?. (2004). Pearanda, Francisco .
    In: Working Papers.
    RePEc:cmf:wpaper:wp2004_0419.

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  49. Market Integration and Contagion. (2003). Harvey, Campbell ; Bekaert, Geert.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9510.

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  50. The Conditional CAPM Does Not Explain Asset-pricing Anomalies. (2003). Nagel, Stefan ; Lewellen, Jonathan .
    In: Working papers.
    RePEc:mit:sloanp:3544.

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