[go: up one dir, main page]
create a website
Relationships among U.S. oil prices and oil industry equity indices. (2004). Hammoudeh, Shawkat ; Dibooglu, Selahattin ; Aleisa, Eisa .
In: International Review of Economics & Finance.
RePEc:eee:reveco:v:13:y:2004:i:4:p:427-453.

Full description at Econpapers || Download paper

Cited: 159

Citations received by this document

Cites: 39

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Is copper a safe haven for oil?. (2024). Lobon, Oana-Ramona ; Qin, Meng ; Song, Xin Yue ; Su, Chi Wei.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:91:y:2024:i:c:s0301420724002642.

    Full description at Econpapers || Download paper

  2. .

    Full description at Econpapers || Download paper

  3. .

    Full description at Econpapers || Download paper

  4. Dependence Analysis for the Energy Sector Based on Energy ETFs. (2023). Gorka, Joanna ; Kuziak, Katarzyna.
    In: Energies.
    RePEc:gam:jeners:v:16:y:2023:i:3:p:1329-:d:1047966.

    Full description at Econpapers || Download paper

  5. Volatility and Spillover Effects between Central–Eastern European Stock Markets and Energy Markets: An Emphasis on Crisis Periods. (2023). Milo, Laura Raisa ; Booc, Claudiu ; Turgeman, Avraham ; Jude, Octavian.
    In: Energies.
    RePEc:gam:jeners:v:16:y:2023:i:17:p:6159-:d:1224247.

    Full description at Econpapers || Download paper

  6. Risk network of global energy markets. (2023). Uddin, Gazi ; Okhrin, Yarema ; Rahman, Md Lutfur ; Jayasekera, Ranadeva ; Yahya, Muhammad ; Luo, Tianqi.
    In: Energy Economics.
    RePEc:eee:eneeco:v:125:y:2023:i:c:s0140988323003808.

    Full description at Econpapers || Download paper

  7. Financial Sector Troubles and Energy Markets. (2023). Soytas, Ugur ; Gormus, Alper.
    In: International Journal of Energy Economics and Policy.
    RePEc:eco:journ2:2023-02-40.

    Full description at Econpapers || Download paper

  8. Oil and stock prices: New evidence from a time varying homogenous panel smooth transition VECM for seven developing countries. (2022). Shahbaz, Muhammad ; Omay, Tolga ; Ivrendi, Mehmet ; Ceylan, Resat.
    In: International Journal of Finance & Economics.
    RePEc:wly:ijfiec:v:27:y:2022:i:1:p:1085-1100.

    Full description at Econpapers || Download paper

  9. Revisiting the relationship between spot and futures markets: evidence from commodity markets and NARDL framework. (2022). Louhichi, Wael ; Ftiti, Zied ; ben Ameur, Hachmi.
    In: Annals of Operations Research.
    RePEc:spr:annopr:v:313:y:2022:i:1:d:10.1007_s10479-021-04172-3.

    Full description at Econpapers || Download paper

  10. Connectedness and risk spillovers between crude oil and clean energy stock markets. (2022). Destek, Mehmet ; Bugan, Mehmet Fatih ; Cergibozan, Raif ; Dibooglu, Sel ; Evik, Emrah Smail.
    In: MPRA Paper.
    RePEc:pra:mprapa:117558.

    Full description at Econpapers || Download paper

  11. Dynamic Co-Movements among Oil Prices and Financial Assets: A Scientometric Analysis. (2022). Marin-Rodriguez, Nini Johana ; Gonzalez-Ruiz, Juan David ; Botero, Sergio Botero.
    In: Sustainability.
    RePEc:gam:jsusta:v:14:y:2022:i:19:p:12796-:d:935756.

    Full description at Econpapers || Download paper

  12. The Impact of Energy Commodity Prices on Selected Clean Energy Metal Prices. (2022). Mroz, Maciej.
    In: Energies.
    RePEc:gam:jeners:v:15:y:2022:i:9:p:3051-:d:799014.

    Full description at Econpapers || Download paper

  13. Dependence between renewable energy related critical metal futures and producer equity markets across varying market conditions. (2022). Junttila, Juha ; Uddin, Gazi Salah ; Kits, Ilya ; Borg, Elin.
    In: Renewable Energy.
    RePEc:eee:renene:v:190:y:2022:i:c:p:879-892.

    Full description at Econpapers || Download paper

  14. Forecast of Bayesian-based dynamic connectedness between oil market and Islamic stock indices of Islamic oil-exporting countries: Application of the cascade-forward backpropagation network. (2022). Dolatabadi, Ali ; Doudkanlou, Mohammad Ghasemi ; Rashidi, Muhammad Mahdi ; Adekoya, Oluwasegun Babatunde ; Asl, Mahdi Ghaemi.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:77:y:2022:i:c:s0301420722002264.

    Full description at Econpapers || Download paper

  15. The effects of COVID-19 on the interrelationship among oil prices, stock prices and exchange rates in selected oil exporting economies. (2022). Kumeka, Terver ; David-Wayas, Maria Onyinye ; Uzoma-Nwosu, Damian Chidozie.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:77:y:2022:i:c:s0301420722001921.

    Full description at Econpapers || Download paper

  16. Dynamic risk spillovers from oil to stock markets: Fresh evidence from GARCH copula quantile regression-based CoVaR model. (2022). Yoon, Seong-Min ; Alshater, Muneer M ; Tian, Maoxi.
    In: Energy Economics.
    RePEc:eee:eneeco:v:115:y:2022:i:c:s0140988322004704.

    Full description at Econpapers || Download paper

  17. Price discovery efficiency of Chinas crude oil futures: Evidence from the Shanghai crude oil futures market. (2022). Hua, Yongjun ; Shao, Mingao.
    In: Energy Economics.
    RePEc:eee:eneeco:v:112:y:2022:i:c:s0140988322003255.

    Full description at Econpapers || Download paper

  18. Dependence structure between oil and other commodity futures in China based on extreme value theory and copulas. (2022). Li, Steven ; Hussain, Saiful Izzuan.
    In: The World Economy.
    RePEc:bla:worlde:v:45:y:2022:i:1:p:317-335.

    Full description at Econpapers || Download paper

  19. .

    Full description at Econpapers || Download paper

  20. New evidence on commodity stocks. (2021). Daskalaki, Charoula.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:41:y:2021:i:6:p:811-874.

    Full description at Econpapers || Download paper

  21. U.S. stock prices and macroeconomic fundamentals: Fresh evidence using the quantile ARDL approach. (2021). Ferrer, Roman ; Hurley, Dene ; Hussain, Syed Jawad.
    In: International Journal of Finance & Economics.
    RePEc:wly:ijfiec:v:26:y:2021:i:3:p:3569-3587.

    Full description at Econpapers || Download paper

  22. Twenty-nine years of the Journal of International Review of Economics and Finance: A scientometric overview (1992–2020). (2021). Atayah, Osama F ; Alshater, Muneer M ; Hassan, Kabir M.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:76:y:2021:i:c:p:1106-1125.

    Full description at Econpapers || Download paper

  23. Pandemic-related financial market volatility spillovers: Evidence from the Chinese COVID-19 epicentre. (2021). Oxley, Les ; Corbet, Shaen ; Xu, Danyang ; Hu, Yang ; Hou, Yang.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:71:y:2021:i:c:p:55-81.

    Full description at Econpapers || Download paper

  24. A Study of the Relative Stock Market Performance of Companies Recognized for Supporting Gender Equality Policies and Practices. (2020). Panait, Iulian ; Armeanu, Daniel Tefan ; Badea, Leonardo ; Kuzman, Boris ; Murgu, Valentin ; Niescu, Dan Costin.
    In: Sustainability.
    RePEc:gam:jsusta:v:12:y:2020:i:9:p:3558-:d:351110.

    Full description at Econpapers || Download paper

  25. The relationship between oil prices and the Brazilian stock market. (2020). Ferreira, Paulo ; Silva, Marcus ; Pereira, Eder.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:545:y:2020:i:c:s0378437119320874.

    Full description at Econpapers || Download paper

  26. Dynamic connectedness and portfolio strategies: Energy and metal markets. (2020). Takin, Dilvin ; Cagli, Efe Aglar ; Mandaci, Pinar Evrim.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:68:y:2020:i:c:s0301420720301008.

    Full description at Econpapers || Download paper

  27. Volatility spillovers for energy prices: A diagonal BEKK approach. (2020). Faghihian, Fatemeh ; Ghoddusi, Hamed ; Zolfaghari, Mehdi.
    In: Energy Economics.
    RePEc:eee:eneeco:v:92:y:2020:i:c:s0140988320303054.

    Full description at Econpapers || Download paper

  28. Are the interdependence characteristics of the US and Canadian energy equity sectors nonlinear and asymmetric?. (2020). Yoon, Seong-Min ; Sadorsky, Perry ; Hernandez, Jose Arreola ; Hanif, Waqas.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819302335.

    Full description at Econpapers || Download paper

  29. Heterogeneous Causal Relationships between Spot and Futures Oil Prices: Evidence from Quantile Causality Analysis. (2019). Yang, Xinxia ; Zhu, Huiming ; Su, Xianfang.
    In: Sustainability.
    RePEc:gam:jsusta:v:11:y:2019:i:5:p:1359-:d:211007.

    Full description at Econpapers || Download paper

  30. A sectoral analysis of asymmetric nexus between oil price and stock returns. (2019). Salisu, Afees ; Raheem, Ibrahim ; Ndako, Umar.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:61:y:2019:i:c:p:241-259.

    Full description at Econpapers || Download paper

  31. Measuring persistence of dependence between crude oil prices and GCC stock markets: A copula approach. (2019). Mokni, Khaled ; Youssef, Manel .
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:72:y:2019:i:c:p:14-33.

    Full description at Econpapers || Download paper

  32. Correlations and volatility spillovers between oil, natural gas, and stock prices in India. (2019). Tiwari, Aviral ; Pradhan, Ashis ; Kumar, Satish ; Kang, Sang Hoon.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:62:y:2019:i:c:p:282-291.

    Full description at Econpapers || Download paper

  33. Nonlinear relationships amongst the implied volatilities of crude oil and precious metals. (2019). Bouri, Elie ; Dutta, Anupam ; Roubaud, David.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:61:y:2019:i:c:p:473-478.

    Full description at Econpapers || Download paper

  34. Transmission of shocks and contagion from U.S. to MENA equity markets: The role of oil and gas markets. (2019). Goutte, Stéphane ; Jamali, Ibrahim ; Guesmi, Khaled ; Abid, Ilyes.
    In: Energy Policy.
    RePEc:eee:enepol:v:134:y:2019:i:c:s0301421519305403.

    Full description at Econpapers || Download paper

  35. Asymmetric volatility spillovers between oil and stock markets: Evidence from China and the United States. (2019). Ma, Feng ; Xu, Weiju ; Zhang, Bing ; Chen, Wang.
    In: Energy Economics.
    RePEc:eee:eneeco:v:80:y:2019:i:c:p:310-320.

    Full description at Econpapers || Download paper

  36. Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence. (2018). Filis, George ; Degiannakis, Stavros ; Arora, Vipin.
    In: MPRA Paper.
    RePEc:pra:mprapa:96270.

    Full description at Econpapers || Download paper

  37. Asymmetric effects of oil shocks on stock market returns in Saudi Arabia: evidence from industry level analysis. (2018). Alshehri, Abdulrahman F ; Onochie, Joseph ; Mohanty, Sunil K.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:51:y:2018:i:3:d:10.1007_s11156-017-0682-5.

    Full description at Econpapers || Download paper

  38. Risk contribution of crude oil to industry stock returns. (2018). Yu, Honghai ; Yan, Panpan ; Fang, Libing ; Du, Donglei.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:58:y:2018:i:c:p:179-199.

    Full description at Econpapers || Download paper

  39. Oil shocks and stock return volatility. (2018). Bachmeier, Lance ; Nadimi, Soheil R.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:68:y:2018:i:c:p:1-9.

    Full description at Econpapers || Download paper

  40. Impacts of oil volatility shocks on metal markets: A research note. (2018). Dutta, Anupam.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:55:y:2018:i:c:p:9-19.

    Full description at Econpapers || Download paper

  41. Common and fundamental risk factors in shareholder returns of Norwegian salmon producing companies. (2018). Misund, Brd.
    In: Journal of Commodity Markets.
    RePEc:eee:jocoma:v:12:y:2018:i:c:p:19-30.

    Full description at Econpapers || Download paper

  42. Oil volatility, oil and gas firms and portfolio diversification. (2018). Pérez de Gracia, Fernando ; Gabauer, David ; Filis, George ; Cuñado, Juncal ; Antonakakis, Nikolaos ; Cunado, Juncal.
    In: Energy Economics.
    RePEc:eee:eneeco:v:70:y:2018:i:c:p:499-515.

    Full description at Econpapers || Download paper

  43. Mutual excitation between OECD stock and oil markets: A conditional intensity extreme value approach. (2018). Clements, Adam ; Herrera, Rodrigo ; Gonzalez, Sergio.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:46:y:2018:i:c:p:70-88.

    Full description at Econpapers || Download paper

  44. Oil prices, stock returns, and exchange rates: Empirical evidence from China and the United States. (2018). Bai, Shuming ; Koong, Kai S.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:44:y:2018:i:c:p:12-33.

    Full description at Econpapers || Download paper

  45. Return Volatility and Macroeconomic Factors: A Comparison of US and Pakistani Firms. (2018). Jan, Sharif Ullah ; Khan, Hashim .
    In: Business & Economic Review.
    RePEc:bec:imsber:v:10:y:2018:i:2:p:1-28.

    Full description at Econpapers || Download paper

  46. Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence. (2018). Filis, George ; Degiannakis, Stavros ; Arora, Vipin.
    In: The Energy Journal.
    RePEc:aen:journl:ej39-5-filis.

    Full description at Econpapers || Download paper

  47. Dependence between oil and commodities markets using time-varying Archimedean copulas and effectiveness of hedging strategies. (2017). GHORBEL, Ahmed ; Jarboui, Anis ; Hamma, Wajdi.
    In: Journal of Applied Statistics.
    RePEc:taf:japsta:v:44:y:2017:i:9:p:1509-1542.

    Full description at Econpapers || Download paper

  48. Analysing the Effect of Oil Price Shocks on Asset Prices: evidence from UK firms. (2017). Alaali, Fatema.
    In: MPRA Paper.
    RePEc:pra:mprapa:78013.

    Full description at Econpapers || Download paper

  49. On the dynamic interactions between energy and stock markets under structural shifts: Evidence from Egypt. (2017). Ahmed, Walid.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:42:y:2017:i:c:p:61-74.

    Full description at Econpapers || Download paper

  50. Diversifying away the risk of war and cross-border political crisis. (2017). , Ayman ; Nolte, Sandra ; Wisniewski, Tomasz Piotr .
    In: Energy Economics.
    RePEc:eee:eneeco:v:64:y:2017:i:c:p:494-510.

    Full description at Econpapers || Download paper

  51. 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.

    Full description at Econpapers || Download paper

  52. Analysing the Effect of Oil Price Shocks on Asset Prices: Evidence from UK Firms. (2017). Alaali, Fatema.
    In: International Journal of Economics and Financial Issues.
    RePEc:eco:journ1:2017-04-51.

    Full description at Econpapers || Download paper

  53. Revisiting Crude Oil Price and Chinas Stock Market. (2017). Ding, Haoyuan ; Xie, Wenjing ; Wang, Huanhuan ; Fan, Haichao.
    In: Annals of Economics and Finance.
    RePEc:cuf:journl:y:2017:v:18:i:1:dingfan.

    Full description at Econpapers || Download paper

  54. Nonlinear Relationships between Oil Price and Stock Index – Evidence from Brazil, Russia, India and China. (2016). Ho, Liang-Chun ; Huang, Chia-Hsing .
    In: Journal for Economic Forecasting.
    RePEc:rjr:romjef:v::y:2016:i:3:p:116-126.

    Full description at Econpapers || Download paper

  55. Oil, Gold, US dollar and Stock market interdependencies: A global analytical insight. (2016). Ben Rejeb, Aymen ; Arfaoui, Mongi .
    In: MPRA Paper.
    RePEc:pra:mprapa:70452.

    Full description at Econpapers || Download paper

  56. Forecasting oil price realized volatility: A new approach. (2016). Filis, George ; Degiannakis, Stavros.
    In: MPRA Paper.
    RePEc:pra:mprapa:69105.

    Full description at Econpapers || Download paper

  57. Common and Fundamental Risk Factors in Shareholder Returns of Norwegian Salmon Producing Companies. (2016). Misund, BÃ¥rd.
    In: UiS Working Papers in Economics and Finance.
    RePEc:hhs:stavef:2016_017.

    Full description at Econpapers || Download paper

  58. Intraday volatility interaction between the crude oil and equity markets. (2016). Sharma, Susan ; Narayan, Paresh ; Bach, Dinh Hoang.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:40:y:2016:i:c:p:1-13.

    Full description at Econpapers || Download paper

  59. The effect of global oil price shocks on Chinas metal markets. (2016). Zhang, Chuanguo ; Tu, Xiaohua .
    In: Energy Policy.
    RePEc:eee:enepol:v:90:y:2016:i:c:p:131-139.

    Full description at Econpapers || Download paper

  60. Relationship between oil, stock prices and exchange rates: A vine copula based GARCH method. (2016). BEN AISSA, Mohamed ; Aloui, Riadh .
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:37:y:2016:i:c:p:458-471.

    Full description at Econpapers || Download paper

  61. Volatility spillovers and macroeconomic announcements: evidence from crude oil markets. (2015). Guesmi, Khaled ; Belgacem, Aymen ; Lahiani, Amine ; Creti, Anna.
    In: Applied Economics.
    RePEc:taf:applec:v:47:y:2015:i:28:p:2974-2984.

    Full description at Econpapers || Download paper

  62. Testing The Random Walk Hypothesis: An Application in the BRIC Countries and Turkey. (2015). Nalan, Halime Temel ; Gler, Sevin .
    In: Romanian Economic Journal.
    RePEc:rej:journl:v:18:y:2015:i:55:p:129-148.

    Full description at Econpapers || Download paper

  63. US stock market regimes and oil price shocks. (2015). Filis, George ; Degiannakis, Stavros ; Angelidis, Timotheos.
    In: MPRA Paper.
    RePEc:pra:mprapa:80436.

    Full description at Econpapers || Download paper

  64. Dynamic Spillovers between Oil and Stock Markets: New Approaches at Spillover Index. (2015). Liao, Ting-Huei ; Lee, Yen-Hsien ; Huang, Ya-Ling .
    In: International Journal of Financial Research.
    RePEc:jfr:ijfr11:v:6:y:2015:i:2:p:178-189.

    Full description at Econpapers || Download paper

  65. Reserves Replacement and Oil and Gas Company Shareholder returns. (2015). Misund, BÃ¥rd.
    In: UiS Working Papers in Economics and Finance.
    RePEc:hhs:stavef:2015_011.

    Full description at Econpapers || Download paper

  66. Heterogeneous beliefs, regret, and uncertainty: The role of speculation in energy price dynamics. (2015). Joets, Marc.
    In: Post-Print.
    RePEc:hal:journl:hal-01609889.

    Full description at Econpapers || Download paper

  67. US stock market regimes and oil price shocks. (2015). Filis, George ; Degiannakis, Stavros ; Angelidis, Timotheos.
    In: Global Finance Journal.
    RePEc:eee:glofin:v:28:y:2015:i:c:p:132-146.

    Full description at Econpapers || Download paper

  68. Revisiting the asymmetric dynamic dependence of stock returns: Evidence from a quantile autoregression model. (2015). Zeng, Zhaofa ; Zhu, Hui-Ming ; Li, ZhaoLai ; You, Wanhai.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:40:y:2015:i:c:p:142-153.

    Full description at Econpapers || Download paper

  69. Modeling oil price–US stock nexus: A VARMA–BEKK–AGARCH approach. (2015). Salisu, Afees ; Oloko, Tirimisiyu.
    In: Energy Economics.
    RePEc:eee:eneeco:v:50:y:2015:i:c:p:1-12.

    Full description at Econpapers || Download paper

  70. Precious metals, cereal, oil and stock market linkages and portfolio risk management: Evidence from Saudi Arabia. (2015). Mensi, walid ; Kang, Sang Hoon ; Hammoudeh, Shawkat.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:51:y:2015:i:c:p:340-358.

    Full description at Econpapers || Download paper

  71. Correlations between oil and stock markets: A wavelet-based approach. (2015). Veiga, Helena ; Ramos, Sofia ; Martin-Barragan, Belen.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:50:y:2015:i:c:p:212-227.

    Full description at Econpapers || Download paper

  72. Correlation between Islamic stock and Commodity markets: An investigation into the impact of financial crisis and financialization of commodity markets. (2014). Masih, Abul ; Khan, Aftab .
    In: MPRA Paper.
    RePEc:pra:mprapa:56979.

    Full description at Econpapers || Download paper

  73. Volatility spillovers and macroeconomic announcements evidence from crude oil markets. (2014). Lahiani, Amine ; Guesmi, Khaled ; Belgacem, Aymen ; Creti, Anna.
    In: Working Papers.
    RePEc:ipg:wpaper:201409.

    Full description at Econpapers || Download paper

  74. Measuring contagion effects between crude oil and OECD stock markets. (2014). Guesmi, Khaled ; Fattoum, Salma.
    In: Working Papers.
    RePEc:ipg:wpaper:2014-90.

    Full description at Econpapers || Download paper

  75. Volatility spillovers and macroeconomic announcements: evidence from crude oil markets. (2014). Lahiani, Amine ; Guesmi, Khaled ; Belgacem, Aymen ; Creti, Anna.
    In: Working Papers.
    RePEc:ipg:wpaper:2014-50.

    Full description at Econpapers || Download paper

  76. Oil prices impact on stock markets: what we learned for the case of oil exporting countries?. (2014). GUESMI, Khaled ; Fattoum, Salma.
    In: Working Papers.
    RePEc:ipg:wpaper:2014-443.

    Full description at Econpapers || Download paper

  77. Oil price impact on financial markets:. (2014). Guesmi, Khaled ; Creti, Anna ; Ftiti, Zied.
    In: Working Papers.
    RePEc:ipg:wpaper:2014-435.

    Full description at Econpapers || Download paper

  78. Volatility forecasting and risk management for commodity markets in the presence of asymmetry and long memory. (2014). Nguyen, Duc Khuong ; Hammoudeh, Shawkat ; Chkili, Walid.
    In: Working Papers.
    RePEc:ipg:wpaper:2014-389.

    Full description at Econpapers || Download paper

  79. Conditional Correlations and Volatility Spillovers between Crude Oil and Oil- exporting and importing countries. (2014). GUESMI, Khaled ; Abid, Ilyes ; Kaabia, Olfa.
    In: Working Papers.
    RePEc:ipg:wpaper:2014-334.

    Full description at Econpapers || Download paper

  80. Volatility forecasting and risk management for commodity markets in the presence of asymmetry and long memory. (2014). Nguyen, Duc Khuong ; Hammoudeh, Shawkat ; Chkili, Walid.
    In: Working Papers.
    RePEc:ipg:wpaper:2014-325.

    Full description at Econpapers || Download paper

  81. Oil Price and Financial Markets: Multivariate Dynamic Frequency Analysis. (2014). Guesmi, Khaled ; Creti, Anna ; Ftiti, Zied.
    In: Working Papers.
    RePEc:ipg:wpaper:2014-121.

    Full description at Econpapers || Download paper

  82. Measuring contagion effects between crude oil and OECD stock markets. (2014). GUESMI, Khaled ; Fattoum, Salma.
    In: Working Papers.
    RePEc:ipg:wpaper:2014-090.

    Full description at Econpapers || Download paper

  83. Conditional Correlations and Volatility Spillovers between Oil Price and OECD Stock index: a Multivariate Analysis. (2014). GUESMI, Khaled ; Creti, Anna ; Abid, Ilyes .
    In: Working Papers.
    RePEc:ipg:wpaper:2014-065.

    Full description at Econpapers || Download paper

  84. Volatility spillovers and macroeconomic announcements evidence from crude oil markets. (2014). GUESMI, Khaled ; Lahiani, Amine ; Creti, Anna.
    In: Working Papers.
    RePEc:ipg:wpaper:2014-050.

    Full description at Econpapers || Download paper

  85. Modelling dynamic dependence between crude oil prices and Asia-Pacific stock market returns. (2014). Zhu, Hui-Ming ; Li, Sufang .
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:29:y:2014:i:c:p:208-223.

    Full description at Econpapers || Download paper

  86. Wavelet-based evidence of the impact of oil prices on stock returns. (2014). Reboredo, Juan ; Rivera-Castro, Miguel A..
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:29:y:2014:i:c:p:145-176.

    Full description at Econpapers || Download paper

  87. Oil price and financial markets: Multivariate dynamic frequency analysis. (2014). Guesmi, Khaled ; Ftiti, Zied ; Creti, Anna.
    In: Energy Policy.
    RePEc:eee:enepol:v:73:y:2014:i:c:p:245-258.

    Full description at Econpapers || Download paper

  88. The impacts of global oil price shocks on China׳s fundamental industries. (2014). Zhang, Chuanguo ; Wang, Xiao.
    In: Energy Policy.
    RePEc:eee:enepol:v:68:y:2014:i:c:p:394-402.

    Full description at Econpapers || Download paper

  89. The relationship between energy and equity markets: Evidence from volatility impulse response functions. (2014). Wohar, Mark ; Olson, Eric ; Vivian, Andrew J..
    In: Energy Economics.
    RePEc:eee:eneeco:v:43:y:2014:i:c:p:297-305.

    Full description at Econpapers || Download paper

  90. How do the stock prices of new energy and fossil fuel companies correlate? Evidence from China. (2014). Huang, Dengshi ; Wei, YU ; Guo, Yanfeng ; Wen, Xiaoqian.
    In: Energy Economics.
    RePEc:eee:eneeco:v:41:y:2014:i:c:p:63-75.

    Full description at Econpapers || Download paper

  91. Volatility forecasting and risk management for commodity markets in the presence of asymmetry and long memory. (2014). Nguyen, Duc Khuong ; Hammoudeh, Shawkat ; Chkili, Walid.
    In: Energy Economics.
    RePEc:eee:eneeco:v:41:y:2014:i:c:p:1-18.

    Full description at Econpapers || Download paper

  92. Performance replication of the Spot Energy Index with optimal equity portfolio selection: Evidence from the UK, US and Brazilian markets. (2014). Andriosopoulos, Kostas ; Nomikos, Nikos .
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:234:y:2014:i:2:p:571-582.

    Full description at Econpapers || Download paper

  93. Return and volatility transmission between oil prices and oil-exporting and oil-importing countries. (2014). Guesmi, Khaled ; Fattoum, Salma.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:38:y:2014:i:c:p:305-310.

    Full description at Econpapers || Download paper

  94. Conditional Correlations and Volatility Links Among Gold, Oil and Istanbul Stock Exchange Sector Returns. (2014). Kilic, Erdem ; Gencer, Hatice Gaye.
    In: International Journal of Economics and Financial Issues.
    RePEc:eco:journ1:2014-01-16.

    Full description at Econpapers || Download paper

  95. The Relationship between Oil Price and OECD Stock Markets: A Multivariate Approach. (2014). Guesmi, Khaled ; Fattoum, Salma.
    In: Economics Bulletin.
    RePEc:ebl:ecbull:eb-13-00576.

    Full description at Econpapers || Download paper

  96. Dynamic Adjustment of Crude Oil Price Spreads. (2014). Ghoshray, Atanu ; Trifonova, Tatiana .
    In: The Energy Journal.
    RePEc:aen:journl:ej35-1-07.

    Full description at Econpapers || Download paper

  97. Oil and stock returns: Evidence from European industrial sector indices in a time-varying environment. (2013). Floros, Christos ; Filis, George ; Degiannakis, Stavros.
    In: MPRA Paper.
    RePEc:pra:mprapa:96298.

    Full description at Econpapers || Download paper

  98. Oil and stock price returns: Evidence from European industrial sector indices in a time-varying environment. (2013). Floros, Christos ; Filis, George ; Degiannakis, Stavros.
    In: MPRA Paper.
    RePEc:pra:mprapa:80495.

    Full description at Econpapers || Download paper

  99. Relationships among Energy Price Shocks, Stock Market, and the Macroeconomy: Evidence from China. (2013). Cong, Rong-Gang ; Shen, Shaochuan.
    In: MPRA Paper.
    RePEc:pra:mprapa:112211.

    Full description at Econpapers || Download paper

  100. Long memory and asymmetry in the volatility of commodity markets and Basel Accord: choosing between models. (2013). Nguyen, Duc Khuong ; Chkili, Walid .
    In: Working Papers.
    RePEc:ipg:wpaper:9.

    Full description at Econpapers || Download paper

  101. Heterogeneous beliefs, regret, and uncertainty: The role of speculation in energy price dynamics. (2013). Jots, Marc .
    In: Working Papers.
    RePEc:ipg:wpaper:31.

    Full description at Econpapers || Download paper

  102. Long memory and asymmetry in the volatility of commodity markets and Basel Accord: choosing between models. (2013). Nguyen, Duc Khuong ; Chkili, Walid ; Hammoudeh, Shawkat.
    In: Working Papers.
    RePEc:ipg:wpaper:2013-9.

    Full description at Econpapers || Download paper

  103. Heterogeneous beliefs, regret, and uncertainty: The role of speculation in energy price dynamics. (2013). Joets, Marc.
    In: Working Papers.
    RePEc:ipg:wpaper:2013-31.

    Full description at Econpapers || Download paper

  104. Heterogeneous beliefs, regret, and uncertainty: The role of speculation in energy price dynamics. (2013). Joets, Marc.
    In: Working Papers.
    RePEc:ipg:wpaper:2013-031.

    Full description at Econpapers || Download paper

  105. Long memory and asymmetry in the volatility of commodity markets and Basel Accord: choosing between models. (2013). Hammoudeh, Shawkat ; Chkili, Walid .
    In: Working Papers.
    RePEc:ipg:wpaper:2013-009.

    Full description at Econpapers || Download paper

  106. Oil price impact on financial markets: co-spectral analysis for exporting versus importing countries. (2013). Guesmi, Khaled ; Ftiti, Zied ; Creti, Anna.
    In: Working Papers.
    RePEc:hal:wpaper:hal-04141209.

    Full description at Econpapers || Download paper

  107. Oil price impact on financial markets: co-spectral analysis for exporting versus importing countries. (2013). Guesmi, Khaled ; Creti, Anna ; Ftiti, Zied.
    In: Working Papers.
    RePEc:hal:wpaper:hal-00822070.

    Full description at Econpapers || Download paper

  108. On the relationship between world oil prices and GCC stock markets. (2013). Nguyen, Duc Khuong ; AROURI, Mohamed ; Jouini, Jamel ; Mohamed El Hedi Arouri, ; Mohamed El Hedi Arouri, .
    In: Working Papers.
    RePEc:hal:wpaper:hal-00798037.

    Full description at Econpapers || Download paper

  109. Heterogeneous Beliefs, Regret, and Uncertainty: The Role of Speculation in Energy Price Dynamics. (2013). Joëts, Marc ; Joets, Marc.
    In: Working Papers.
    RePEc:fem:femwpa:2013.32.

    Full description at Econpapers || Download paper

  110. Oil and stock returns: Evidence from European industrial sector indices in a time-varying environment. (2013). Floros, Christos ; Filis, George ; Degiannakis, Stavros.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:26:y:2013:i:c:p:175-191.

    Full description at Econpapers || Download paper

  111. The impact of global oil price shocks on the Lebanese stock market. (2013). Dagher, Leila ; El Hariri, Sadika .
    In: Energy.
    RePEc:eee:energy:v:63:y:2013:i:c:p:366-374.

    Full description at Econpapers || Download paper

  112. The liquidity of energy stocks. (2013). Scholtens, Bert ; Dam, Lammertjan ; Sklavos, Konstantinos .
    In: Energy Economics.
    RePEc:eee:eneeco:v:38:y:2013:i:c:p:168-175.

    Full description at Econpapers || Download paper

  113. On the links between stock and commodity markets volatility. (2013). Mignon, Valérie ; Joëts, Marc ; Creti, Anna ; Joets, Marc.
    In: Energy Economics.
    RePEc:eee:eneeco:v:37:y:2013:i:c:p:16-28.

    Full description at Econpapers || Download paper

  114. Conditional correlations and volatility spillovers between crude oil and stock index returns. (2013). Tansuchat, Roengchai ; McAleer, Michael ; Chang, Chia-Lin.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:25:y:2013:i:c:p:116-138.

    Full description at Econpapers || Download paper

  115. Stock markets in GCC countries and global factors: A further investigation. (2013). JOUINI, Jamel.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:31:y:2013:i:c:p:80-86.

    Full description at Econpapers || Download paper

  116. Oil price impact on financial markets: co-spectral analysis for exporting versus importing countries. (2013). Guesmi, Khaled ; Creti, Anna ; Ftiti, Zied.
    In: EconomiX Working Papers.
    RePEc:drm:wpaper:2013-11.

    Full description at Econpapers || Download paper

  117. On the links between stock and commodity markets volatility. (2013). Creti, Anna ; Mignon, Valerie ; Joets, Marc.
    In: Economics Papers from University Paris Dauphine.
    RePEc:dau:papers:123456789/14980.

    Full description at Econpapers || Download paper

  118. Heterogeneous Beliefs, Regret, and Uncertainty: The Role of Speculation in Energy Price Dynamics. (2013). Joets, Marc.
    In: Energy: Resources and Markets.
    RePEc:ags:feemer:148918.

    Full description at Econpapers || Download paper

  119. On the Relationship between World Oil Prices and GCC Stock Markets. (2012). Nguyen, Duc Khuong ; AROURI, Mohamed ; Le, Nhu Tuyen ; Mohamed El Hedi Arouri, ; Mohamed El Hedi Arouri, ; Jouini, Jamel.
    In: Journal of Quantitative Economics.
    RePEc:jqe:jqenew:v:10:y:2012:i:1:p:98-120.

    Full description at Econpapers || Download paper

  120. Asymmetric Fractionally Integrated Volatility Modelling of Asian Equity Markets under the Subprime Mortgage Crisis. (2012). cheong, chin ; Nurul Afidah Mohmad Yusof, ; Lai, Ng Sew ; Ying, Khor Chia .
    In: Journal of Quantitative Economics.
    RePEc:jqe:jqenew:v:10:y:2012:i:1:p:70-84.

    Full description at Econpapers || Download paper

  121. Conditional Correlation Between Oil and Stock Market Returns: The Case of Mexico. (2012). Valdes, Arturo Lorenzo ; Fraire, Leticia Armenta ; Vazquez, Rocio Duran .
    In: Remef - The Mexican Journal of Economics and Finance.
    RePEc:imx:journl:v:7:y:2012:i:1:p:49-63.

    Full description at Econpapers || Download paper

  122. Conditional Correlation Between Oil and Stock Market Returns: The Case of Mexico. (2012). Valdes, Arturo Lorenzo ; Vazquez, Rocio Duran ; Fraire, Leticia Armenta .
    In: Remef - The Mexican Journal of Economics and Finance.
    RePEc:imx:journl:20121015.

    Full description at Econpapers || Download paper

  123. On the links between stock and commodity markets volatility. (2012). Mignon, Valerie ; Joets, Marc ; Creti, Anna.
    In: Working Papers.
    RePEc:hal:wpaper:hal-04141042.

    Full description at Econpapers || Download paper

  124. U.S. industry-level returns and oil prices. (2012). Jahan-Parvar, Mohammad ; Fan, Qinbin .
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:22:y:2012:i:1:p:112-128.

    Full description at Econpapers || Download paper

  125. Copula model dependency between oil prices and stock markets: Evidence from China and Vietnam. (2012). NGUYEN, CUONG ; Bhatti, Ishaq M..
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:22:y:2012:i:4:p:758-773.

    Full description at Econpapers || Download paper

  126. Oil prices, exchange rates and emerging stock markets. (2012). Haug, Alfred ; Basher, Syed ; Sadorsky, Perry.
    In: Energy Economics.
    RePEc:eee:eneeco:v:34:y:2012:i:1:p:227-240.

    Full description at Econpapers || Download paper

  127. On the links between stock and commodity markets volatility. (2012). Mignon, Valérie ; Joëts, Marc ; Creti, Anna ; Joets, Marc.
    In: EconomiX Working Papers.
    RePEc:drm:wpaper:2012-42.

    Full description at Econpapers || Download paper

  128. Asymmetric long-run effects in the oil industry. (2012). Veiga, Helena ; Ramos, Sofia ; Wang, Chih-Wei.
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:ws120502.

    Full description at Econpapers || Download paper

  129. On the links between stock and commodity markets volatility. (2012). Mignon, Valérie ; Joëts, Marc ; Creti, Anna ; Joets, Marc.
    In: Working Papers.
    RePEc:cii:cepidt:2012-20.

    Full description at Econpapers || Download paper

  130. Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns. (2011). Tansuchat, Roengchai ; McAleer, Michael ; Chang, Chia-Lin.
    In: Documentos de Trabajo del ICAE.
    RePEc:ucm:doicae:1134.

    Full description at Econpapers || Download paper

  131. Oil prices, exchange rates and emerging stock markets. (2011). Haug, Alfred ; Basher, Syed ; Sadorsky, Perry.
    In: MPRA Paper.
    RePEc:pra:mprapa:30140.

    Full description at Econpapers || Download paper

  132. Commodities and financial variables: Analyzing relationships in a changing regime environment. (2011). Hammoudeh, Shawkat ; Bhar, Ramaprasad.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:20:y:2011:i:4:p:469-484.

    Full description at Econpapers || Download paper

  133. Oil price movements and stock market returns: Evidence from Gulf Cooperation Council (GCC) countries. (2011). Turkistani, Abdullah Q. ; Mohanty, Sunil K. ; Alaitani, Muhammed Y. ; Nandha, Mohan .
    In: Global Finance Journal.
    RePEc:eee:glofin:v:22:y:2011:i:1:p:42-55.

    Full description at Econpapers || Download paper

  134. Oil price shocks and industry stock returns. (2011). Odusami, Babatunde ; Mansur, Iqbal ; Elyasiani, Elyas.
    In: Energy Economics.
    RePEc:eee:eneeco:v:33:y:2011:i:5:p:966-974.

    Full description at Econpapers || Download paper

  135. Volatility spillover from world oil spot markets to aggregate and electricity stock index returns in Turkey. (2011). Soytas, Ugur ; Oran, Adil.
    In: Applied Energy.
    RePEc:eee:appene:v:88:y:2011:i:1:p:354-360.

    Full description at Econpapers || Download paper

  136. Exchange Rate and Industrial Commodity Volatility Transmissions, Asymmetries and Hedging Strategies. (2010). McAleer, Michael ; Hammoudeh, Shawkat ; Yuan, Yuan.
    In: CIRJE F-Series.
    RePEc:tky:fseres:2010cf741.

    Full description at Econpapers || Download paper

  137. Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns. (2010). Tansuchat, Roengchai ; McAleer, Michael ; Chang, Chia-Lin.
    In: CIRJE F-Series.
    RePEc:tky:fseres:2010cf706.

    Full description at Econpapers || Download paper

  138. Oil Prices, Exchange Rates and Emerging Stock Markets. (2010). Haug, Alfred ; Basher, Syed ; Sadorsky, Perry.
    In: Working Papers.
    RePEc:otg:wpaper:1014.

    Full description at Econpapers || Download paper

  139. Exchange Rate and Industrial Commodity Volatility Transmissions, Asymmetries and Hedging Strategies. (2010). yuan, yun ; McAleer, Michael ; Hammoudeh, Shawkat.
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:19449.

    Full description at Econpapers || Download paper

  140. Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns. (2010). Tansuchat, Roengchai ; McAleer, Michael ; Chang, Chia-Lin ; Chang, C-L., .
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:18043.

    Full description at Econpapers || Download paper

  141. Volatility behavior of oil, industrial commodity and stock markets in a regime-switching environment. (2010). Hammoudeh, Shawkat ; Choi, Kyongwook.
    In: Energy Policy.
    RePEc:eee:enepol:v:38:y:2010:i:8:p:4388-4399.

    Full description at Econpapers || Download paper

  142. Symmetric and asymmetric US sector return volatilities in presence of oil, financial and economic risks. (2010). Hammoudeh, Shawkat ; Chiang, Thomas ; Nandha, Mohan ; Yuan, Yuan.
    In: Energy Policy.
    RePEc:eee:enepol:v:38:y:2010:i:8:p:3922-3932.

    Full description at Econpapers || Download paper

  143. Can environmental sustainability be used to manage energy price risk?. (2010). Henriques, Irene ; Sadorsky, Perry.
    In: Energy Economics.
    RePEc:eee:eneeco:v:32:y:2010:i:5:p:1131-1138.

    Full description at Econpapers || Download paper

  144. Oil shocks and stock returns: The case of the Central and Eastern European (CEE) oil and gas sectors. (2010). Bota, Gabor ; Mohanty, Sunil ; Nandha, Mohan .
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:11:y:2010:i:4:p:358-372.

    Full description at Econpapers || Download paper

  145. Exchange Rate and Industrial Commodity Volatility Transmissions, Asymmetries and Hedging Strategies. (2010). McAleer, Michael ; Hammoudeh, Shawkat ; Yuan, Yuan.
    In: CARF F-Series.
    RePEc:cfi:fseres:cf218.

    Full description at Econpapers || Download paper

  146. Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns. (2010). Tansuchat, Roengchai ; McAleer, Michael ; Chang, Chia-Lin.
    In: CARF F-Series.
    RePEc:cfi:fseres:cf202.

    Full description at Econpapers || Download paper

  147. Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns. (2010). Tansuchat, Roengchai ; McAleer, Michael ; Chang, Chia-Lin.
    In: Working Papers in Economics.
    RePEc:cbt:econwp:10/04.

    Full description at Econpapers || Download paper

  148. Exchange Rate and Industrial Commodity Volatility Transmissions and Hedging Strategies. (2009). McAleer, Michael ; Hammoudeh, Shawkat ; Yuan, Yuan.
    In: CIRJE F-Series.
    RePEc:tky:fseres:2009cf668.

    Full description at Econpapers || Download paper

  149. EU Emission Allowances and the stock market: Evidence from the electricity industry. (2009). Oberndorfer, Ulrich .
    In: Ecological Economics.
    RePEc:eee:ecolec:v:68:y:2009:i:4:p:1116-1126.

    Full description at Econpapers || Download paper

  150. Exchange Rate and Industrial Commodity Volatility Transmissions and Hedging Strategies. (2009). McAleer, Michael ; Hammoudeh, Shawkat ; Yuan, Yuan.
    In: CARF F-Series.
    RePEc:cfi:fseres:cf172.

    Full description at Econpapers || Download paper

  151. EU Emission Allowances and the Stock Market: Evidence from the Electricity Industry. (2008). Oberndorfer, Ulrich .
    In: ZEW Discussion Papers.
    RePEc:zbw:zewdip:7382.

    Full description at Econpapers || Download paper

  152. Returns and Volatility of Eurozone Energy Stocks. (2008). Oberndorfer, Ulrich .
    In: ZEW Discussion Papers.
    RePEc:zbw:zewdip:7226.

    Full description at Econpapers || Download paper

  153. Relationships between oil price shocks and stock market: An empirical analysis from China. (2008). Wei, Yi-Ming ; Cong, Rong-Gang ; Jiao, Jian-Lin ; Fan, Ying.
    In: Energy Policy.
    RePEc:eee:enepol:v:36:y:2008:i:9:p:3544-3553.

    Full description at Econpapers || Download paper

  154. Assessing the impact of oil prices on firms of different sizes: Its tough being in the middle. (2008). Sadorsky, Perry.
    In: Energy Policy.
    RePEc:eee:enepol:v:36:y:2008:i:10:p:3854-3861.

    Full description at Econpapers || Download paper

  155. Oil prices and the stock prices of alternative energy companies. (2008). Henriques, Irene ; Sadorsky, Perry.
    In: Energy Economics.
    RePEc:eee:eneeco:v:30:y:2008:i:3:p:998-1010.

    Full description at Econpapers || Download paper

  156. Metal volatility in presence of oil and interest rate shocks. (2008). Hammoudeh, Shawkat ; Yuan, Yuan.
    In: Energy Economics.
    RePEc:eee:eneeco:v:30:y:2008:i:2:p:606-620.

    Full description at Econpapers || Download paper

  157. Common and fundamental factors in stock returns of Canadian oil and gas companies. (2007). Boyer, M. Martin ; Filion, Didier.
    In: Energy Economics.
    RePEc:eee:eneeco:v:29:y:2007:i:3:p:428-453.

    Full description at Econpapers || Download paper

  158. Common and Fundamental Factors in Stock Returns of Canadian Oil and Gas Companies. (2004). Boyer, M. Martin ; Filion, Didier.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2004s-62.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Baba, Y., Engle, R. F., Kraft, D. F., & Kroner, K. F. (1989). Multivariate simultaneous generalized ARCH (Working Paper). University of California, San Diego.
    Paper not yet in RePEc: Add citation now
  2. Banerjee, A. ; Dolado, J. ; Galbraith, J. ; Hendry, D. Cointegration, error correction and the econometric analysis of nonstationary data. 1993 Oxford University Press: Oxford, UK
    Paper not yet in RePEc: Add citation now

  3. Bollerslev, T. Generalized autoregressive conditional heteroskedasticity. 1986 Journal of Econometrics. 31 307-327

  4. Bollerslev, T. ; Engle, R.F. ; Wooldridge, J.M. A capital asset pricing model with time-varying covariance. 1988 Journal of Political Economy. 96 116-131

  5. Choudhry, T. Stock trends in stock prices: evidence from Latin American markets. 1997 Journal of Macroeconomics. 19 285-304

  6. Crowder, W.J. ; Hamid, A. A cointegration test for oil futures market efficiency. 1993 Journal of Futures Markets. 13 933-941
    Paper not yet in RePEc: Add citation now

  7. Crowder, W.J. ; Wohar, M.E. Cointegration, forecasting and international stock prices. 1998 Global Finance Journal. 9 181-204

  8. DeJong, D. ; Nankervis, J. ; Savin, N. ; Whiteman, C. The power problems of unit root tests in time series with autoregressive errors. 1992 Journal of Econometrics. 53 323-344

  9. Engel, R.F. Autoregressive conditional heteroskedasticity with estimates of the variance of U.K. inflation. 1982 Econometrica. 50 251-276
    Paper not yet in RePEc: Add citation now

  10. Eun, C. ; Shim, S. International transmission of stock market movements. 1989 Journal of Financial Quantitative Analysis. 24 241-256

  11. Francis, B. ; Leachman, L. Superexogeneity and the dynamic linkages among international equity markets. 1998 Journal of International Money and Finance. 17 475-492

  12. French, K. ; Schwert, W. ; Stambaugh, R. Expected stock returns and volatility. 1987 Journal of Financial Economics. 19 3-30

  13. Gonzalo, J. Five alternative methods of estimating long run relationships. 1994 Journal of Econometrics. 60 203-233

  14. Gulen, S.G. Regionalization in world crude oil markets: further evidence. 1999 The Energy Journal. 20 125-139

  15. Hamao, Y. ; Masulis, R. ; Ng, V. Correlation in price changes and volatility across international stock markets. 1990 Review of Financial Studies. 3 281-307

  16. Hammoudeh, S. ; Li, H. ; Jeon, B. Causality and volatility spillovers among petroleum prices of WTI, gasoline and heating oil in different locations. 2003 North American Journal of Economics and Finance. 13 89-114

  17. Hargreaves, C. A review of methods of estimating cointegration relationships. 1994 En : Hargreaves, C. Nonstationary time series analysis and cointegration. Oxford University Press: Oxford, UK
    Paper not yet in RePEc: Add citation now

  18. Hendry, D. ; Juselius, K. Explaining cointegration analysis: Part I. 2000 The Energy Journal. 21 1-42

  19. Hendry, D. ; Juselius, K. Explaining cointegration analysis: Part II. 2001 The Energy Journal. 22 75-120

  20. Huang, R. ; Masulis, R. ; Stoll, H. Energy shocks and financial markets. 1996 Journal of Futures Markets. 16 1-27
    Paper not yet in RePEc: Add citation now
  21. Jeon, B. ; von Furstenberg, G. Growing international comovement in stock price indexes. 1990 Quarterly Review of Economics and Business. 30 15-30
    Paper not yet in RePEc: Add citation now
  22. Johansen, S. Determination of cointegration ranks in the presence of a liner trend. 1992 Oxford Bulletin of Economics and Statistics. 52 169-210
    Paper not yet in RePEc: Add citation now

  23. Johansen, S. Statistical analysis of cointegration vectors. 1988 Journal of Economic Dynamics and Control. 12 231-254

  24. Johansen, S. ; Juselius, K. Maximum likelihood estimation and inferences on cointegration-with applications to demand for money. 1990 Oxford Bulletin of Economics and Statistics. 54 383-397

  25. Jones, C. ; Kaul, G. Oil and stock markets. 1996 Journal of Finance. 51 463-491

  26. Kasa, K. Common stock trends in international stock markets. 1992 Journal of Monetary Economics. 29 95-124
    Paper not yet in RePEc: Add citation now
  27. Longin, F. ; Solnik, B. Is the correlation in equity stock returns constant: 1960–1990?. 1995 Journal of International Money and Finance. 14 3-14
    Paper not yet in RePEc: Add citation now

  28. Pantula, S.G. Testing for unit roots in time series data. 1989 Econometric Theory. 5 256-271

  29. Papapetrou, E. Oil price shocks, stock market, economic activity and employment in Greece. 2001 Energy Economics. 23 511-532

  30. Phillips, P.C.B. ; Perron, P. Testing for a unit root in time series regression. 1988 Biometra. 75 335-346
    Paper not yet in RePEc: Add citation now
  31. Richards, A.J. Co-movements in national stock markets returns: evidence of predictability, but no cointegration. 1985 Journal of Monetary Economics. 36 631-654
    Paper not yet in RePEc: Add citation now

  32. Sadorsky, P. Oil price shocks and stock market activity. 1999 Energy Economics. 21 449-469

  33. Said, S. ; Dickey, D. Testing for unit roots in autoregressive moving average models with unknown orders. 1984 Biometrica. 71 599-607
    Paper not yet in RePEc: Add citation now
  34. Schwartz, T.V. ; Szakmary, A.C. Price discovery in petroleum markets: arbitrage, cointegration and the time interval of analysis. 1994 The Journal of Futures Markets. 14 147-167
    Paper not yet in RePEc: Add citation now

  35. Schwert, W. Tests for unit roots: a Monte Carlo investigation. 1989 Journal of Business and Economic Statistics. 7 147-159

  36. Serletis, A. ; Banack, D. Market efficiency and co-integration: an application to petroleum markets. 1990 Review of Futures Markets. 9 372-385
    Paper not yet in RePEc: Add citation now
  37. Silvapulle, P. ; Moosa, I. The relationship between spot and futures prices: evidence from the crude oil market. 1999 The Journal of Futures Markets. 19 175-193
    Paper not yet in RePEc: Add citation now

  38. Urbain, J.P. On weak exogeneity in error correction models. 1992 Oxford Bulletin Of Economics and Statistics. 54 187-207

  39. Xiaowen, S.L. ; Tamvakis, M.N. Spillover effects in energy futures markets. 2001 Energy Economics. 23 43-56

Cocites

Documents in RePEc which have cited the same bibliography

  1. Predicting risk in energy markets: Low-frequency data still matter. (2021). Výrost, Tomᚠ; Vrost, Toma ; Todorova, Neda ; Lyocsa, Tefan.
    In: Applied Energy.
    RePEc:eee:appene:v:282:y:2021:i:pa:s0306261920315567.

    Full description at Econpapers || Download paper

  2. Applying Dynamic Training-Subset Selection Methods Using Genetic Programming for Forecasting Implied Volatility. (2020). Abdelmalek, Wafa ; ben Hamida, Sana ; Abid, Fathi.
    In: Papers.
    RePEc:arx:papers:2007.07207.

    Full description at Econpapers || Download paper

  3. A micro-to-macro approach to returns, volumes and waiting times. (2020). Petroni, Filippo ; D'Amico, Guglielmo.
    In: Papers.
    RePEc:arx:papers:2007.06262.

    Full description at Econpapers || Download paper

  4. Design of High-Frequency Trading Algorithm Based on Machine Learning. (2019). Feng, Yutong ; Fang, Boyue.
    In: Papers.
    RePEc:arx:papers:1912.10343.

    Full description at Econpapers || Download paper

  5. Does U.S. Macroeconomic News Make the South African Stock Market Riskier?. (2016). GUPTA, RANGAN ; Cakan, Esin.
    In: Working Papers.
    RePEc:pre:wpaper:201646.

    Full description at Econpapers || Download paper

  6. Models of Financial Return With Time-Varying Zero Probability. (2016). Sucarrat, Genaro ; Gronneberg, Steffen .
    In: MPRA Paper.
    RePEc:pra:mprapa:68931.

    Full description at Econpapers || Download paper

  7. Forecasting Covariance Matrices: A Mixed Approach. (2016). Halbleib, Roxana ; Voev, Valeri .
    In: Journal of Financial Econometrics.
    RePEc:oup:jfinec:v:14:y:2016:i:2:p:383-417..

    Full description at Econpapers || Download paper

  8. CRIX or evaluating blockchain based currencies. (2016). Trimborn, Simon ; Härdle, Wolfgang ; Hardle, Wolfgang Karl.
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2016-021.

    Full description at Econpapers || Download paper

  9. Value-at-Risk forecasts by a spatiotemporal model in Chinese stock market. (2016). Gong, PU ; Weng, Yingliang .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:441:y:2016:i:c:p:173-191.

    Full description at Econpapers || Download paper

  10. Choosing Expected Shortfall over VaR in Basel III Using Stochastic Dominance. (2015). McAleer, Michael ; Maasoumi, Esfandiar ; Jimenez-Martin, Juan ; Chang, Chia-Lin ; Perez-Amaral, Teodosio.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20150133.

    Full description at Econpapers || Download paper

  11. Unified quasi-maximum likelihood estimation theory for stable and unstable Markov bilinear processes. (2015). Aknouche, Abdelhakim.
    In: MPRA Paper.
    RePEc:pra:mprapa:69572.

    Full description at Econpapers || Download paper

  12. Forecasting volatility in gold returns under the GARCH, IGARCH and FIGARCH frameworks: New evidence. (2015). Bentes, Sonia R.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:438:y:2015:i:c:p:355-364.

    Full description at Econpapers || Download paper

  13. Nonlinear GARCH model and 1/f noise. (2015). Kononovicius, A. ; Ruseckas, J..
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:427:y:2015:i:c:p:74-81.

    Full description at Econpapers || Download paper

  14. High and low or close to close prices? Evidence from the multifractal volatility. (2015). Ma, Feng ; Liu, Zhichao ; Long, Yujia .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:427:y:2015:i:c:p:50-61.

    Full description at Econpapers || Download paper

  15. Financial time series modeling using the Hurst exponent. (2015). Anagnostopoulos, Christoforos ; Tzouras, Spilios ; McCoy, Emma .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:425:y:2015:i:c:p:50-68.

    Full description at Econpapers || Download paper

  16. Sharia compliant gold investment in Malaysia: Hedge or safe haven?. (2015). Lean, Hooi Hooi ; Ghazali, Mohd Fahmi ; Bahari, Zakaria .
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:34:y:2015:i:c:p:192-204.

    Full description at Econpapers || Download paper

  17. Value at Risk of the main stock market indexes in the European Union (2000–2012). (2015). Iglesias, Emma.
    In: Journal of Policy Modeling.
    RePEc:eee:jpolmo:v:37:y:2015:i:1:p:1-13.

    Full description at Econpapers || Download paper

  18. Return and volatility linkages between oil prices and the Lebanese stock market in crisis periods. (2015). Bouri, Elie.
    In: Energy.
    RePEc:eee:energy:v:89:y:2015:i:c:p:365-371.

    Full description at Econpapers || Download paper

  19. Power transformations of absolute returns and long memory estimation. (2015). Dalla, Violetta.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:33:y:2015:i:c:p:1-18.

    Full description at Econpapers || Download paper

  20. The Behavior of Conventional and Islamic Bank Deposit Returns in Malaysia and Turkey. (2015). Cevik, Serhan ; Charap, Joshua .
    In: International Journal of Economics and Financial Issues.
    RePEc:eco:journ1:2015-01-09.

    Full description at Econpapers || Download paper

  21. Robust bootstrap forecast densities for GARCH models: returns, volatilities and value-at-risk. (2015). Ruiz, Esther ; Hotta, Luiz ; Trucos, Carlos .
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:ws1523.

    Full description at Econpapers || Download paper

  22. Asset Price Dynamics with Heterogeneous Beliefs and Time Delays. (2014). Li, Kai.
    In: PhD Thesis.
    RePEc:uts:finphd:13.

    Full description at Econpapers || Download paper

  23. Factor-Specific Productivity. (2014). Piper, Brian .
    In: Working Papers.
    RePEc:shs:wpaper:1401.

    Full description at Econpapers || Download paper

  24. Long memory dynamics for multivariate dependence under heavy tails. (2014). Lucas, Andre ; Koopman, Siem Jan ; Janus, Pawel.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:29:y:2014:i:c:p:187-206.

    Full description at Econpapers || Download paper

  25. Volatility and dynamic conditional correlations of worldwide emerging and frontier markets. (2014). Lyócsa, Štefan ; Baumohl, Eduard.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:38:y:2014:i:c:p:175-183.

    Full description at Econpapers || Download paper

  26. A Monte Carlo Simulation Approach to Forecasting Multi-period Value-at-Risk and Expected Shortfall Using the FIGARCH-skT Specification. (2014). Floros, Christos ; Degiannakis, Stavros ; Dent, Pamela .
    In: Manchester School.
    RePEc:bla:manchs:v:82:y:2014:i:1:p:71-102.

    Full description at Econpapers || Download paper

  27. EARLY WARNING SYSTEMS: ANÁLISE DE UMMODELO PROBIT DE CONTÁGIO DE CRISE DOS ESTADOS UNIDOS PARA O BRASIL(2000-2010). (2014). DA SILVA, CLAUDECI ; Couto, Joaquim Miguel ; MURILLO, HUGO AGUDELO .
    In: Anais do XL Encontro Nacional de Economia [Proceedings of the 40th Brazilian Economics Meeting].
    RePEc:anp:en2012:110.

    Full description at Econpapers || Download paper

  28. Volatility Spillovers between Equity and Bond Markets: Evidence from G7 and BRICS. (2013). Zhang, Dongxiang ; Wang, Juan.
    In: Journal for Economic Forecasting.
    RePEc:rjr:romjef:v::y:2013:i:4:p:205-217.

    Full description at Econpapers || Download paper

  29. Regional Equity Risk Premium Convergence: The case of Japan. (2013). GUESMI, Khaled.
    In: Working Papers.
    RePEc:ipg:wpaper:2013-006.

    Full description at Econpapers || Download paper

  30. Economic effects by merger and acquisition types in the renewable energy sector: An event study approach. (2013). Heo, Eunnyeong ; Lee, Youah ; Yoo, Kyungjin .
    In: Renewable and Sustainable Energy Reviews.
    RePEc:eee:rensus:v:26:y:2013:i:c:p:694-701.

    Full description at Econpapers || Download paper

  31. Modelling price dynamics: A hybrid truncated Lévy Flight–GARCH approach. (2013). Constantinides, A. ; Savelev, S. E..
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:392:y:2013:i:9:p:2072-2078.

    Full description at Econpapers || Download paper

  32. The Tunisian stock market index volatility: Long memory vs. switching regime. (2013). Charfeddine, Lanouar ; Ajmi, Ahdi Noomen.
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:16:y:2013:i:c:p:170-182.

    Full description at Econpapers || Download paper

  33. Moving average stochastic volatility models with application to inflation forecast. (2013). Chan, Joshua ; Chan, Joshua C. C., .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:176:y:2013:i:2:p:162-172.

    Full description at Econpapers || Download paper

  34. Stock market comovements in Central Europe: Evidence from the asymmetric DCC model. (2013). Horvath, Roman ; Gjika, Dritan .
    In: Economic Modelling.
    RePEc:eee:ecmode:v:33:y:2013:i:c:p:55-64.

    Full description at Econpapers || Download paper

  35. Fear sentiments and gold price: testing causality in-mean and in-variance. (2012). Yagil, Joseph ; Qadan, Mahmod .
    In: Applied Economics Letters.
    RePEc:taf:apeclt:v:19:y:2012:i:4:p:363-366.

    Full description at Econpapers || Download paper

  36. Model-based Estimation of High Frequency Jump Diffusions with Microstructure Noise and Stochastic Volatility. (2008). Bos, Charles.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20080011.

    Full description at Econpapers || Download paper

  37. Long Memory Modelling of Inflation with Stochastic Variance and Structural Breaks. (2007). Ooms, Marius ; Koopman, Siem Jan ; Bos, Charles.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20070099.

    Full description at Econpapers || Download paper

  38. The Power of Weather: Some Empirical Evidence on Predicting Day-ahead Power Prices through Day-ahead Weather Forecasts. (2007). Zhou, Chen ; Ravazzolo, Francesco ; Huurman, Christian .
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20070036.

    Full description at Econpapers || Download paper

  39. Dynamic Correlations and Optimal Hedge Ratios. (2007). Bos, Charles ; Gould, Phillip .
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20070025.

    Full description at Econpapers || Download paper

  40. NON-LINEARITY IN THE CANADIAN AND US LABOUR MARKETS: UNIVARIATE AND MULTIVARIATE EVIDENCE FROM A BATTERY OF TESTS. (2007). Pelloni, Gianluigi ; Panagiotidis, Theodore.
    In: Working Paper series.
    RePEc:rim:rimwps:06_07.

    Full description at Econpapers || Download paper

  41. Detecting Some Dynamic Properties of the Euro/Dollar Exchange Rate. (2006). Osinska, Magdalena ; Matuszewska-Janica, Aleksandra ; Osiska, Magdalena.
    In: International Advances in Economic Research.
    RePEc:kap:iaecre:v:12:y:2006:i:3:p:327-341:10.1007/s11294-006-9021-7.

    Full description at Econpapers || Download paper

  42. Common Volatility Trends in the Central and Eastern European Currencies and the Euro. (2006). Tamirisa, Natalia T ; Pramor, Marcus.
    In: IMF Working Papers.
    RePEc:imf:imfwpa:2006/206.

    Full description at Econpapers || Download paper

  43. Outlier Detection in GARCH Models. (2005). Ooms, Marius ; Doornik, Jurgen.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20050092.

    Full description at Econpapers || Download paper

  44. Periodic Seasonal Reg-ARFIMA-GARCH Models for Daily Electricity Spot Prices. (2005). Ooms, Marius ; Koopman, Siem Jan ; Carnero, M. Angeles.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20050091.

    Full description at Econpapers || Download paper

  45. Nonparametric Tests for Serial Independence Based on Quadratic Forms. (2005). Panchenko, Valentyn ; Diks, Cees.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20050076.

    Full description at Econpapers || Download paper

  46. Duration and convexity in spanish corporate bonds. (2004). Sotos, Francisco .
    In: International Advances in Economic Research.
    RePEc:kap:iaecre:v:10:y:2004:i:4:p:273-277:10.1007/bf02295140.

    Full description at Econpapers || Download paper

  47. Weak convergence and distributional assumptions for a general class of nonliner arch models. (1997). Mele, Antonio ; Fornari, Fabio.
    In: Econometric Reviews.
    RePEc:taf:emetrv:v:16:y:1997:i:2:p:205-227.

    Full description at Econpapers || Download paper

  48. The economics of conditional heteroskedasticity: Evidence from canadian and U.S. stock and futures markets. (1997). Ackert, Lucy.
    In: Atlantic Economic Journal.
    RePEc:kap:atlecj:v:25:y:1997:i:4:p:371-385.

    Full description at Econpapers || Download paper

  49. Incerteza inflacionária e crescimento do produto e incerteza do produto e crescimento inflacionário. (1991). Teixeira, Ernani .
    In: Nova Economia.
    RePEc:nov:artigo:v:2:y:1991:i:2:p:123-133.

    Full description at Econpapers || Download paper

  50. Uncertainty Shocks and Business Cycle Research. (). Guerron, Pablo ; Fernandez-Villaverde, Jesus ; Guerron-Quintana, Pablo.
    In: Review of Economic Dynamics.
    RePEc:red:issued:20-250.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2024-12-25 20:03:27 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.