Conditional Correlations and Volatility Spillovers between Oil Price and OECD Stock index: a Multivariate Analysis
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- Type
- preprint
- Published
- 2014-01-06
- Cited by
- 21
- References
- 31
- OpenAlex
- https://openalex.org/W48594844
- Semantic Scholar
- https://api.semanticscholar.org/CorpusID:150613707
Keywords
Econometrics, Volatility (finance), Multivariate statistics, Economics, Stock (firearms)
References
- Is the Correlation in International Equity Returns Constant: 1960-90?
- Jump dynamics and volatility: Oil and the stock markets
- The Japanese deflation: has it had real effects? Could it have been avoided?
- Oil prices, stock markets and portfolio investment: Evidence from sector analysis in Europe over the last decade
- The Portfolio Flows of International Investors
- The conditional heteroscedasticity of the yen-dollar exchange rate
- Better to give than to receive: Predictive directional measurement of volatility spillovers
- Dynamic spillovers between oil and stock markets in the Gulf Cooperation Council Countries
- Modeling volatility persistence of speculative returns: A new approach
- Volatility transmission between oil prices and equity sector returns
- The Asian flu and Russian virus: the international transmission of crises in firm-level data
- Oil price shocks and stock market activity
- Oil price shocks, stock market, economic activity and employment in Greece ☆
- Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries
- Correlations in Price Changes and Volatility Across International Stock Markets
- Causes and Consequences of the Oil Shock of 2007-08
- OIL AND THE STOCK MARKETS
- Volatility behavior of oil, industrial commodity and stock markets in a regime-switching environment
- Does Shift Contagion Exist Between OECD Stock Markets During The Financial Crisis
- Transmission of Volatility between Stock Markets
Cited by
- Oil prices impact on stock markets: what we learned for the case of oil exporting countries?
- Causality across international equity and commodity markets: When asymmetry and nonlinearity matter
- Economic policy uncertainty, oil price shocks and GCC stock markets
- Date Stamping Historical Oil Price Bubbles: 1876-2014
- Natural Gas Consumption and Economic Growth Nexus: The Role of Exports, Capital and Labor in France
- Testing for asymmetric causality from U.S. equity returns to commodity futures returns
- Dependence of stock and commodity futures markets in China: Implications for portfolio investment
- What role of renewable and non-renewable electricity consumption and output is needed to initially mitigate CO2 emissions in MENA region?
- Asymmetric and nonlinear pass-through of crude oil prices to gasoline and natural gas prices
- Instabilities in the relationships and hedging strategies between crude oil and US stock markets: Do long memory and asymmetry matter?
- On the relationship between oil price and exchange rates: A wavelet analysis
- On the determinants of renewable energy consumption: International evidence
- Evolution of Crude Oil Prices and Economic Growth: The case of OPEC Countries
- Review of the stochastic properties of CO 2 futures prices
- The time scale behavior of oil-stock relationships: what we learn from the ASEAN-5 countries
- Gauging the nonstationarity and asymmetries in the oil-stock price links: a multivariate analysis
- The Role of Information Communication Technology and Economic Growth in Recent Electricity Demand: Fresh Evidence from Combine Cointegration Approach in UAE
- An Empirical Analysis of Energy Demand in Tunisia
- Spillover between commodity and equity benchmarking indices
- An empirical investigation of the impact of spillover dynamics from crude to NSE Nifty Index during and prior to the COVID-19 pandemic period
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