Nothing Special   »   [go: up one dir, main page]
create a website
Volatility persistence and returns spillovers between oil and gold prices: Analysis before and after the global financial crisis. (2016). YAYA, OLAOLUWA ; Udomboso, Christopher G ; Tumala, Mohammed M.
In: Resources Policy.
RePEc:eee:jrpoli:v:49:y:2016:i:c:p:273-281.

Full description at Econpapers || Download paper

Cited: 58

Citations received by this document

Cites: 58

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. Analyzing the Co-movement of FinTech market efficiency and oil Resource efficiency: An Input-Output study. (2024). Liu, Jiexian.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:90:y:2024:i:c:s0301420724000357.

    Full description at Econpapers || Download paper

  2. Is there a relationship between economic growth and natural resource commodity price volatility? Evidence from China. (2024). Wang, Yong ; Zhao, Wenhao ; Zhang, RU.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:88:y:2024:i:c:s0301420723011029.

    Full description at Econpapers || Download paper

  3. Crude oil volatility spillover and stock market returns across the COVID-19 pandemic and post-pandemic periods: An empirical study of China, US, and India. (2024). Bibi, Sidra ; Wang, Hui ; Mao, Zhouheng.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:88:y:2024:i:c:s0301420723010449.

    Full description at Econpapers || Download paper

  4. Asymmetric volatility spillover among global oil, gold, and Chinese sectors in the presence of major emergencies. (2023). Deng, Mingjie ; Cheng, Sheng ; Cao, Yan ; Liang, Ruibin.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:82:y:2023:i:c:s0301420723002908.

    Full description at Econpapers || Download paper

  5. Do oil, gold and metallic price volatilities prove gold as a safe haven during COVID-19 pandemic? Novel evidence from COVID-19 data. (2023). Wong, Wing-Keung ; Wisetsri, Worakamol ; Cui, Moyang ; Hassan, Marria ; Li, Zeyun ; Muda, Iskandar ; Mabrouk, Fatma.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:80:y:2023:i:c:s0301420722005761.

    Full description at Econpapers || Download paper

  6. Dynamic causality interplay from COVID-19 pandemic to oil price, stock market, and economic policy uncertainty: evidence from oil-importing and oil-exporting countries. (2022). ben Jabeur, Sami ; Al-Qadasi, Adel ; Solarin, Sakiru Adebola ; Khalfaoui, Rabeh.
    In: Annals of Operations Research.
    RePEc:spr:annopr:v:313:y:2022:i:1:d:10.1007_s10479-021-04446-w.

    Full description at Econpapers || Download paper

  7. Time-variation between metal commodities and oil, and the impact of oil shocks: GARCH-MIDAS and DCC-MIDAS analyses. (2022). Vo, Xuan Vinh ; Alobaloke, Kafayat ; Adesina, Ayobami O ; Ogbonna, Ahamuefula E ; Yaya, Olaoluwa S.
    In: MPRA Paper.
    RePEc:pra:mprapa:114689.

    Full description at Econpapers || Download paper

  8. Persistence and Volatility Spillovers of Bitcoin price to Gold and Silver prices. (2022). Vo, Xuan Vinh ; Lukman, Adewale F ; Yaya, Olaoluwa A.
    In: MPRA Paper.
    RePEc:pra:mprapa:114521.

    Full description at Econpapers || Download paper

  9. Does political risk matter for gold market fluctuations? A structural VAR analysis. (2022). Zhang, Hongwei ; Gao, Wang ; Huang, Jianbai ; Ding, Qian.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:60:y:2022:i:c:s027553192200006x.

    Full description at Econpapers || Download paper

  10. Time-variation between metal commodities and oil, and the impact of oil shocks: GARCH-MIDAS and DCC-MIDAS analyses. (2022). YAYA, OLAOLUWA ; Ogbonna, Ahamuefula ; Vo, Xuan Vinh ; Alobaloke, Kafayat A ; Adesina, Oluwaseun A.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:79:y:2022:i:c:s0301420722004792.

    Full description at Econpapers || Download paper

  11. Persistence and volatility spillovers of bitcoin price to gold and silver prices. (2022). YAYA, OLAOLUWA ; Vo, Xuan Vinh ; Lukman, Adewale F.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:79:y:2022:i:c:s0301420722004548.

    Full description at Econpapers || Download paper

  12. Dynamic frequency volatility spillovers and connectedness between strategic commodity and stock markets: US-based sectoral analysis. (2022). Kang, Sang Hoon ; Vo, Xuan Vinh ; Alomari, Mohammad ; al Rababa, Abdel Razzaq ; Mensi, Walid.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:79:y:2022:i:c:s0301420722004196.

    Full description at Econpapers || Download paper

  13. Impact of the COVID-19 pandemic on return and risk transmission between oil and precious metals: Evidence from DCC-GARCH model. (2022). Ertugrul, Hasan ; Erturul, Hasan Murat ; Esen, Omer ; Yildirim, Durmu Ari.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:79:y:2022:i:c:s030142072200383x.

    Full description at Econpapers || Download paper

  14. Volatility in metallic resources prices in COVID-19 and financial Crises-2008: Evidence from global market. (2022). Xu, Qingqing ; Meng, Tianci ; Sha, Yue ; Jiang, Xia.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:78:y:2022:i:c:s0301420722003713.

    Full description at Econpapers || Download paper

  15. Economic performance and natural resources commodity prices volatility: Evidence from global data. (2022). Mughal, Nafeesa ; Yating, Yang ; Wen, Jun ; Ngan, Truong Thi ; Maneengam, Apichit ; Ramirez-Asis, Edwin.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:78:y:2022:i:c:s0301420722003245.

    Full description at Econpapers || Download paper

  16. 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

  17. Volatility in natural resources commodity prices: Evaluating volatility in oil and gas rents. (2022). Altunta, Mehmet ; Li, Haixia ; Wang, Yanlong.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:77:y:2022:i:c:s0301420722002148.

    Full description at Econpapers || Download paper

  18. The time-frequency connectedness among metal, energy and carbon markets pre and during COVID-19 outbreak. (2022). Chen, Yunfei ; Jiang, Wei.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:77:y:2022:i:c:s0301420722002112.

    Full description at Econpapers || Download paper

  19. Revisiting volatility in global natural resources commodities? Evidence from global data. (2022). Dorduncu, Hazar ; Niu, Xiaojian ; Wang, Yanan ; Lin, Shiwei.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:77:y:2022:i:c:s0301420722002070.

    Full description at Econpapers || Download paper

  20. Degree and structure of return dependence among commodities, energy stocks and international equity markets during the post-COVID-19 period. (2022). Azimli, Asil.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:77:y:2022:i:c:s0301420722001271.

    Full description at Econpapers || Download paper

  21. Measuring natural resources rents volatility: Evidence from EGARCH and TGARCH for global data. (2022). Ali, Sher ; Akbar, Ahsan ; Wang, Zanxin ; Ni, Xiewen.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:76:y:2022:i:c:s030142072200006x.

    Full description at Econpapers || Download paper

  22. Can gold hedge against oil price movements: Evidence from GARCH-EVT wavelet modeling. (2022). Huang, Shupei ; Lucey, Brian ; Wang, Xinya.
    In: Journal of Commodity Markets.
    RePEc:eee:jocoma:v:27:y:2022:i:c:s2405851321000593.

    Full description at Econpapers || Download paper

  23. Dynamic volatility linkages and hedging between commodities and sectoral stock returns in Turkey: Evidence from SVAR?cDCC?GARCH model. (2021). Akko, Uur ; Civcir, rfan .
    In: International Journal of Finance & Economics.
    RePEc:wly:ijfiec:v:26:y:2021:i:2:p:1978-1992.

    Full description at Econpapers || Download paper

  24. Spillovers and financial integration in emerging markets: Analysis of BRICS economies within a VAR?BEKK framework. (2021). Panda, Pradiptarathi ; Patra, Saswat.
    In: International Journal of Finance & Economics.
    RePEc:wly:ijfiec:v:26:y:2021:i:1:p:493-514.

    Full description at Econpapers || Download paper

  25. Comparative Analysis of Market Efficiency and Volatility of Energy Prices Before and During COVID-19 Pandemic Periods. (2021). YAYA, OLAOLUWA ; Ajobo, Saheed A ; Abu, Nurudeen ; Ojo, Oluwadare O ; Alaba, Oluwayemisi O.
    In: MPRA Paper.
    RePEc:pra:mprapa:109825.

    Full description at Econpapers || Download paper

  26. Exploring the role of natural resources, natural gas and oil production for economic growth of China. (2021). Kirikkaleli, Dervis ; Zhou, Yuanxiang ; Rjoub, Husam ; Bashir, Muhammad Adnan ; Weng, Shimei ; Cui, Lianbiao.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:74:y:2021:i:c:s0301420721004384.

    Full description at Econpapers || Download paper

  27. Price and volatility spillovers between global equity, gold, and energy markets prior to and during the COVID-19 pandemic. (2021). Alshami, Abdullah ; Elgammal, Mohammed M.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:74:y:2021:i:c:s0301420721003433.

    Full description at Econpapers || Download paper

  28. Energy, agriculture, and precious metals: Evidence from time-varying Granger causal relationships for both return and volatility. (2021). Ajmi, Ahdi Noomen ; Mokni, Khaled ; Bouri, Elie ; Shahzad, Farrukh.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:74:y:2021:i:c:s0301420721003081.

    Full description at Econpapers || Download paper

  29. Oil-gold nexus: Evidence from regime switching-quantile regression approach. (2021). Mokni, Khaled ; Youssef, Manel.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:73:y:2021:i:c:s0301420721002270.

    Full description at Econpapers || Download paper

  30. Asymmetric and time-frequency spillovers among commodities using high-frequency data. (2021). Vo, Xuan Vinh ; Shahzad, Syed Jawad Hussain ; Caporin, Massimiliano ; Hasan, Mudassar ; Arif, Muhammad ; Naeem, Muhammad Abubakr.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:70:y:2021:i:c:s0301420720309879.

    Full description at Econpapers || Download paper

  31. The impact of oil prices on stock market development in Pakistan: Evidence with a novel dynamic simulated ARDL approach. (2021). Khan, Muhammad Fayaz ; Jadoon, Arshad Ullah ; Teng, Jian-Zhou.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:70:y:2021:i:c:s0301420720309302.

    Full description at Econpapers || Download paper

  32. Hedging oil price risk with gold during COVID-19 pandemic. (2021). Vo, Xuan Vinh ; Salisu, Afees ; Lawal, Adedoyin.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:70:y:2021:i:c:s0301420720309284.

    Full description at Econpapers || Download paper

  33. Dynamic spillovers across oil, gold and stock markets in the presence of major public health emergencies. (2021). Chen, Jinyu ; Zhu, Xuehong ; Liao, Jianhui.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:77:y:2021:i:c:s1057521921001563.

    Full description at Econpapers || Download paper

  34. Analysing the spillovers between crude oil prices, stock prices and metal prices: The importance of frequency domain in USA. (2021). Tiwari, Aviral ; Solarin, Sakiru Adebola ; Mishra, Bibhuti Ranjan.
    In: Energy.
    RePEc:eee:energy:v:220:y:2021:i:c:s0360544220328395.

    Full description at Econpapers || Download paper

  35. The good, the bad and the ugly relation between oil and commodities: An analysis of asymmetric volatility connectedness and portfolio implications. (2021). Kang, Sang Hoon ; Guhathakurta, Kousik ; Maitra, Debasish.
    In: Energy Economics.
    RePEc:eee:eneeco:v:94:y:2021:i:c:s0140988320304011.

    Full description at Econpapers || Download paper

  36. Information transmission between gold and financial assets: Mean, volatility, or risk spillovers?. (2020). Wang, Yudong ; Zhang, Yaojie ; Ma, Chaoqun ; Wen, Danyan.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:69:y:2020:i:c:s0301420720309028.

    Full description at Econpapers || Download paper

  37. Time-varying volatility spillovers between oil prices and precious metal prices. (2020). Esen, Omer ; Çevik, Emrah ; Cevik, Emrah Ismail ; Yildirim, Durmu Ari.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:68:y:2020:i:c:s0301420720303330.

    Full description at Econpapers || Download paper

  38. 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

  39. Forecasting volatility and co-volatility of crude oil and gold futures: Effects of leverage, jumps, spillovers, and geopolitical risks. (2020). McAleer, Michael ; GUPTA, RANGAN ; Asai, Manabu.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:36:y:2020:i:3:p:933-948.

    Full description at Econpapers || Download paper

  40. Heterogeneous dependence between crude oil price volatility and China’s agriculture commodity futures: Evidence from quantile-on-quantile regression. (2020). Ma, Xiang ; Huang, Rui ; Zhu, Huiming ; Hau, Liya.
    In: Energy.
    RePEc:eee:energy:v:213:y:2020:i:c:s0360544220318880.

    Full description at Econpapers || Download paper

  41. Moments-based spillovers across gold and oil markets. (2020). Lau, Chi Keung ; GUPTA, RANGAN ; Bonato, Matteo ; Wang, Shixuan ; Marco, Chi Keung.
    In: Energy Economics.
    RePEc:eee:eneeco:v:89:y:2020:i:c:s0140988320301390.

    Full description at Econpapers || Download paper

  42. The Impact of jumps and leverage in forecasting the co-volatility of oil and gold futures. (2019). McAleer, Michael ; GUPTA, RANGAN ; Asai, Manabu.
    In: Documentos de Trabajo del ICAE.
    RePEc:ucm:doicae:1912.

    Full description at Econpapers || Download paper

  43. Moments-Based Spillovers across Gold and Oil Markets. (2019). Wang, Shixuan ; GUPTA, RANGAN ; Marco, Chi Keung ; Bonato, Matteo.
    In: Working Papers.
    RePEc:pre:wpaper:201966.

    Full description at Econpapers || Download paper

  44. Forecasting Volatility and Co-volatility of Crude Oil and Gold Futures: Effects of Leverage, Jumps, Spillovers, and Geopolitical Risks. (2019). McAleer, Michael ; GUPTA, RANGAN ; Asai, Manabu.
    In: Working Papers.
    RePEc:pre:wpaper:201951.

    Full description at Econpapers || Download paper

  45. The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures. (2019). McAleer, Michael ; GUPTA, RANGAN ; Asai, Manabu.
    In: Working Papers.
    RePEc:pre:wpaper:201925.

    Full description at Econpapers || Download paper

  46. Predicting Volatility and Dynamic Relation Between Stock Market, Exchange Rate and Select Commodities. (2019). Roy, Preeti ; Siddiqui, Saif.
    In: Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis.
    RePEc:mup:actaun:actaun_2019067061597.

    Full description at Econpapers || Download paper

  47. The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures. (2019). McAleer, Michael ; GUPTA, RANGAN ; Asai, Manabu.
    In: Energies.
    RePEc:gam:jeners:v:12:y:2019:i:17:p:3379-:d:263215.

    Full description at Econpapers || Download paper

  48. The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures. (2019). McAleer, Michael ; GUPTA, RANGAN ; Asai, Manabu.
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:115614.

    Full description at Econpapers || Download paper

  49. Heterogeneous interconnections between precious metals: Evidence from asymmetric and frequency-domain spillover analysis. (2019). lucey, brian ; Hernandez, Jose Areola ; Boako, Gideon ; Hussain, Syed Jawad ; Uddin, Gazi Salah.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:64:y:2019:i:c:s030142071930426x.

    Full description at Econpapers || Download paper

  50. 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

  51. High-frequency asymmetric volatility connectedness between Bitcoin and major precious metals markets. (2019). Sensoy, Ahmet ; Kang, Sanghoon ; Aslan, Aylin ; Mensi, Walid.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940819301093.

    Full description at Econpapers || Download paper

  52. Assessing risk contagion among the Brent crude oil market, London gold market and stock markets: Evidence based on a new wavelet decomposition approach. (2019). Su, Xianfang ; Jiang, Yong ; Kuang, Yuanpei ; Lin, Ling.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940819300968.

    Full description at Econpapers || Download paper

  53. EMPIRICAL ANALYSIS OF THE RELATIONSHIP BETWEEN OIL AND PRECIOUS METALS MARKETS. (2018). Mokni, Khaled.
    In: Annals of Financial Economics (AFE).
    RePEc:wsi:afexxx:v:13:y:2018:i:01:n:s2010495218500033.

    Full description at Econpapers || Download paper

  54. The importance of global economic policy uncertainty in predicting gold futures market volatility: A GARCH‐MIDAS approach. (2018). Chen, Baizhu ; Fang, Libing ; Qian, Yichuo ; Yu, Honghai.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:38:y:2018:i:3:p:413-422.

    Full description at Econpapers || Download paper

  55. The impact of gold and crude oil prices on stock market in Turkey: Empirical evidences from ARDL bounds test and combined cointegration. (2018). Türsoy, Turgut ; Faisal, Faisal ; Tursoy, Turgut .
    In: Resources Policy.
    RePEc:eee:jrpoli:v:55:y:2018:i:c:p:49-54.

    Full description at Econpapers || Download paper

  56. Dynamics of crude oil and gold price post 2008 global financial crisis – New evidence from threshold vector error-correction model. (2017). Kanjilal, Kakali ; Ghosh, Sajal .
    In: Resources Policy.
    RePEc:eee:jrpoli:v:52:y:2017:i:c:p:358-365.

    Full description at Econpapers || Download paper

  57. 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

References

References cited by this document

  1. Abadir, K.M. ; Distaso, W. ; Giraitis, L. Nonstationarity-extended local Whittle estimation. 2007 J. Econom.. 141 1353-1384

  2. Aggarwal, R. ; Lucey, B.M. Psychological barriers in gold prices?. 2007 Rev. Financ. Econ.. 16 217-230

  3. Apergis, N. ; Eleftheriou, S. Gold returns: do business cycle asymmetries matter? Evidence from an international country sample. 2016 Econ. Model.. 57 164-170

  4. Arouri, M. ; Jouini, J. ; Nguyen, D. Volatility spillovers between oil prices and stock sector returns: implications for portfolio management. 2011 J. Int. Money Financ.. 30 1387-1405

  5. Arouri, M. ; Lahiani, A. ; Nguyen, D. World gold prices and stock returns in China: insights for hedging and diversification strategies. 2015 Econ. Model.. 44 273-282

  6. Aruga, K. ; Managi, S. Tests on price linkage between the U.S. and Japanese gold and silver futures markets. 2011 Econ. Bull.. 31 1038-1046

  7. Baba, Y. ; Engle, R.F. ; Kraft, D. ; Kroner, K.F. Multivariate Aimultaneous Generalized ARCH. 1989 University of California: San Diego
    Paper not yet in RePEc: Add citation now

  8. Bampinas, G. ; Panagiotidis, T. On the relationship between oil and gold before and after financial crisis: linear, nonlinear and time-varying causality testing. 2015 Stud. Nonlinear Dyn. Econ.. 19 657-668

  9. Batten, J. ; Ciner, C. ; Lucey, B.M. The macroeconomic determinants of volatility in precious metals markets. 2010 Resour. Policy. 35 65-71

  10. Baur, D.G. ; McDermott, T.K. Is gold a hedge or a safe haven? An analysis of stocks, bonds and gold. 2010 Financ. Rev.. 45 217-229

  11. Bauwens, L. ; Hafner, C. ; Laurent, S. Volatility models. 2012 En : Bauwens, L. ; Hafner, C. ; Laurent, S. Handbook of Volatility Models and Their Applications. John Wiley and Sons, Inc: NJ

  12. Berndt, E. ; Hall, B. ; Hall, R. ; Hausman, J. Estimation and inference in nonlinear structural models. 1974 Ann. Econ. Soc. Meas.. 3 653-665

  13. Bollerslev, T. Generalized autoregressive conditional heteroscedasticity. 1986 J. Econom.. 31 307-327

  14. Bollerslev, T. Modelling the coherence in short-run nominal exchange rates: a multivariate generalized ARCH approach. 1990 Rev. Econ. Stat.. 72 498-505

  15. Chan, K.F. ; Karuna, S.T. ; Brooks, R. ; Gray, S. Asset market linkages: evidence from financial, commodity and real estate assets. 2011 J. Bank. Financ.. 35 1415-1426

  16. Chkili, W., 2015. Gold-oil prices co-movements and portfolio diversification implications. Munich Personal RePEc Archive, MPRA Paper No. 68110.

  17. Choi, K. ; Hammoudeh, S. Volatility behaviour of oil, industrial commodity and stock markets in a regime-switching environment. 2010 Energy Policy. 38 4388-4399

  18. Ciner, C. ; Gurdgier, C. ; Lucey, B.M. Hedges and safe havens: an examination of stocks, bonds, gold, oil and exchange rates. 2013 Int. Rev. Financ. Anal.. 29 202-211

  19. Engle, R.F. Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom. 1982 Econometrica. 50 987-1008

  20. Engle, R.F. Dynamic conditional correlation: a simple class of multivariate generalized autoregressive conditional heteroskedasticity models. 2002 J. Bus. Econ. Stat.. 20 339-350

  21. Engle, R.F. ; Kroner, K.F. Multivariate simultaneous generalized ARCH. 1995 Econ. Theory. 11 122-150

  22. Engle, R.F. ; Ng, V.K. Measuring and testing the impact of news on volatility. 1993 J. Financ.. 48 1749-1778

  23. Engle, R.F., Sheppard, K., 2001. Theoretical and empirical properties of dynamic conditional correlation multivariate GARCH. Mimeo UCSD.

  24. Ewing, B.T. ; Malik, F. Volatility transmission between gold and oil futures under structural breaks. 2013 Int. Rev. Econ. Financ.. 25 113-121

  25. Fernandez, V. Commodity futures and market efficiency: a fractional integrated approach. 2010 Resour. Policy. 35 276-282

  26. Fleming, J. ; Kirby, C. ; Ostdiek, B. Information and volatility linkages in the stock, bond, and money markets. 1998 J. Financ. Econ.. Vol. 49 111-137

  27. Geweke, J. ; Porter-Hudak, S. The estimation and application of long memory time series models. 1983 J. Time Ser. Anal.. 4 221-238
    Paper not yet in RePEc: Add citation now

  28. Gil-Alana, L.A. ; Yaya, O.S. The relationship between oil prices and the Nigerian stock market: an analysis based on fractional cointegration. 2014 Energy Econ.. 46 328-333

  29. Glosten, L.W. ; Jaganathan, R. ; Runkle, D.E. On the relation between the expected value and the volatility of the nominal excess return on stocks. 1993 J. Financ.. 48 1779-1801

  30. Granger, C.W.J. ; Joyeux, R. An introduction to long memory time series and fractionally differencing. 1980 J. Time Ser. Anal.. 1 15-29
    Paper not yet in RePEc: Add citation now

  31. Hammoudeh, S. ; Malik, F. ; McAleer, M. Risk management of precious metals. 2011 Q. Rev. Econ. Financ.. 51 435-441

  32. Hooker, M.A. Are oil shocks inflationary? Asymmetric and nonlinear specifications versus changes in regime. 2002 J. Money Credit Bank.. 34 540-561

  33. Hosking, J.R.M. Fractional differencing. 1981 Biometrika. 68 165-176
    Paper not yet in RePEc: Add citation now

  34. Hunt, B. Oil price shocks and the U.S. stagflation of the 1970s: some Insights from GEM. 2006 Energy J.. 27 61-80

  35. Jaffe, J.F. Gold and gold stocks as investments for institutional portfolios. 1989 Financ. Anal. J.. 45 53-59
    Paper not yet in RePEc: Add citation now
  36. Kiohos, A. ; Sariannidis, N. Determinants of the asymmetric gold market. 2010 Invest. Manag. Financ. Innov.. 7 26-33
    Paper not yet in RePEc: Add citation now
  37. Kroner, K.F. ; Ng, V.K. Modelling asymmetric movements of asset prices. 1998 Rev. Financ. Stud.. 11 844-871
    Paper not yet in RePEc: Add citation now

  38. Kroner, K.F. ; Sultan, J. Time-varying distributions and dynamic hedging with foreign currency futures. 1993 J. Financ. Quant. Anal.. 28 535-551

  39. Kunsch, H.R., 1987. Statistical aspects of self-similar processes. In: Prokhorov, Y., Sazanov, V.V., (Eds.), Proceedings of the First World Congress of the Bernoulli Society. VNU Science Press, Utrecht, pp. 67–74.
    Paper not yet in RePEc: Add citation now

  40. Lamoureux, C.G. ; Lastrapes, W.D. Persistence in variance, structural change and the GARCH model. 1990 J. Bus. Econ. Stat.. 8 225-234

  41. Lombardi, M.J., Van Robays, I., 2011. Do financial investors destabilize the oil price? European Central Bank, Working Paper No.1346.

  42. Lucey, B. ; Larkin, C. ; O’Connor, F. London or New York: where and when does the gold price originate?. 2013 Appl. Econ. Lett.. 20 813-817

  43. Melvin, M. ; Sultan, J. South African political unrest, oil prices, and the time varying risk premium in the gold futures market. 1990 J. Future Mark.. 10 103-111

  44. Mensi, W. ; Beljid, M. ; Boubaker, A. ; Managi, S. Correlation and volatility spillovers across commodity and stock market: linking energies, food and gold. 2013 Econ. Model.. 32 15-22

  45. Phillips, P.C.B. ; Shimotsu, K. Exact local Whittle estimation of fractional integration. 2005 Ann. Stat.. 33 1890-1933
    Paper not yet in RePEc: Add citation now
  46. Phillips, P.C.B. ; Shimotsu, K. Local Whittle estimation in nonstationary and unit root cases. 2004 Ann. Stat.. 32 656-692
    Paper not yet in RePEc: Add citation now
  47. Robinson, P.M. Gaussian semiparametric estimation of long range dependence. 1995 Ann. Stat.. 23 1630-1661
    Paper not yet in RePEc: Add citation now
  48. Robinson, P.M. Log-periodogram regression of time series with long range dependence. 1995 Ann. Stat.. 23 1048-1072
    Paper not yet in RePEc: Add citation now

  49. Ross, S.A. Information and volatility: the no-arbitrage martingale approach to timing and resolution irrelevancy. 1989 J. Financ.. 44 1-17

  50. Salisu, A.A. ; Oloko, T.F. Modelling oil price – US stock nexus: a VARMA–BEKK–AGARCH approach. 2015 Energy Econ.. 50 1-12

  51. Shams, S. ; Zarshenas, M. Copular approach for modelling oil and gold prices and exchange rate co-movements in Iran. 2014 Int. J. Stat. Appl.. 4 172-175
    Paper not yet in RePEc: Add citation now

  52. Singh A., Karali B., Ramirez O.A., 2011. High price volatility and spillover effects in energy markets. Selected paper prepared for presentation at the Agriculture & Applied Economics Association's 2011 AAEA & NAREA Joint Annual Meeting, Pittsburgh, Pennsylvania, July 24–26, 2011.

  53. Tse, Y.K. ; Tsui, A.K.C. A multivariate GARCH model with time-varying correlations. 2002 J. Bus. Econ. Stat.. 20 351-362
    Paper not yet in RePEc: Add citation now

  54. Velasco, C. Gaussian semiparametric estimation of nonstationary time series. 1999 J. Time Ser. Anal.. 20 87-127

  55. Velasco, C. Non-Gaussian log periodogram regression. 2000 Econ. Theory. 16 44-79

  56. Velasco, C. Nonstationary log periodogram regression. 1999 J. Econom.. 91 325-371

  57. Velasco, C. ; Robinson, P.M. Whittle pseudo maximum likelihood estimation for nonstationary time series. 2000 J. Am. Stat. Assoc.. 95 1229-1243

  58. Zhang, Y.J. ; Wei, Y.-M. The crude oil market and the gold market: evidence for cointegration, causality and price discovery. 2010 Resour. Policy. 35 168-177

Cocites

Documents in RePEc which have cited the same bibliography

  1. Quasi-Maximum Likelihood Estimation and Bootstrap Inference in Fractional Time Series Models with Heteroskedasticity of Unknown Form. (2016). Taylor, Robert ; Nielsen, Morten ; Cavaliere, Giuseppe ; A. M. Robert Taylor, .
    In: Working Papers.
    RePEc:qed:wpaper:1324.

    Full description at Econpapers || Download paper

  2. Persistence in Convergence: Some further results. (2016). Yazgan, Ege ; Stengos, Thanasis ; Ozkan, Harun.
    In: Working Papers.
    RePEc:gue:guelph:2016-05.

    Full description at Econpapers || Download paper

  3. Performance of the Multifractal Model of Asset Returns (MMAR): Evidence from Emerging Stock Markets. (2016). Gunay, Samet ; Gnay, Samet .
    In: IJFS.
    RePEc:gam:jijfss:v:4:y:2016:i:2:p:11-:d:70218.

    Full description at Econpapers || Download paper

  4. Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence. (2015). Laurent, Sébastien ; Hecq, Alain ; Chevillon, Guillaume.
    In: Working Papers.
    RePEc:hal:wpaper:hal-01158524.

    Full description at Econpapers || Download paper

  5. High versus Low Inflation: Implications for Price-Level Convergence. (2015). YILMAZKUDAY, HAKAN ; Yazgan, Ege.
    In: Working Papers.
    RePEc:fiu:wpaper:1503.

    Full description at Econpapers || Download paper

  6. Forecasting long memory series subject to structural change: A two-stage approach. (2015). Papailias, Fotis ; Dias, Gustavo Fruet .
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:31:y:2015:i:4:p:1056-1066.

    Full description at Econpapers || Download paper

  7. Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence. (2015). Laurent, Sébastien ; Hecq, Alain ; Chevillon, Guillaume.
    In: ESSEC Working Papers.
    RePEc:ebg:essewp:dr-15007.

    Full description at Econpapers || Download paper

  8. Linkages between the US and European Stock Markets: A Fractional Cointegration Approach. (2015). Gil-Alana, Luis ; Caporale, Guglielmo Maria ; Orlando, James C.
    In: Discussion Papers of DIW Berlin.
    RePEc:diw:diwwpp:dp1505.

    Full description at Econpapers || Download paper

  9. The EMBI in Latin America: Fractional Integration, Non-Linearities and Breaks. (2015). Gil-Alana, Luis ; Carcel, Hector ; Caporale, Guglielmo Maria.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_5630.

    Full description at Econpapers || Download paper

  10. Common long-range dependence in a panel of hourly Nord Pool electricity prices and loads. (2015). Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Haldrup, Niels ; Rodriguez-Caballero, Carlos Vladimir ; Ergemen, Yunus Emre .
    In: CREATES Research Papers.
    RePEc:aah:create:2015-58.

    Full description at Econpapers || Download paper

  11. High versus Low Inflation: Implications for Price-Level Convergence. (2014). YILMAZKUDAY, HAKAN ; Yazgan, Ege.
    In: Koç University-TUSIAD Economic Research Forum Working Papers.
    RePEc:koc:wpaper:1412.

    Full description at Econpapers || Download paper

  12. Asymptotic behavior of the Whittle estimator for the increments of a Rosenblatt process. (2014). Tudor, Ciprian ; Bardet, Jean-Marc .
    In: Journal of Multivariate Analysis.
    RePEc:eee:jmvana:v:131:y:2014:i:c:p:1-16.

    Full description at Econpapers || Download paper

  13. The persistence and asymmetric volatility in the Nigerian stock bull and bear markets. (2014). YAYA, OLAOLUWA ; Gil-Alana, Luis.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:38:y:2014:i:c:p:463-469.

    Full description at Econpapers || Download paper

  14. Modified information criteria and selection of long memory time series models. (2014). Papailias, Fotis ; Baillie, Richard T. ; Kapetanios, George.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:76:y:2014:i:c:p:116-131.

    Full description at Econpapers || Download paper

  15. Youth Unemployment in Europe: Persistence and Macroeconomic Determinants. (2014). Gil-Alana, Luis ; Caporale, Guglielmo Maria.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_4696.

    Full description at Econpapers || Download paper

  16. Long memory in US real output per capita. (2013). Gil-Alana, Luis ; Caporale, Guglielmo Maria.
    In: Empirical Economics.
    RePEc:spr:empeco:v:44:y:2013:i:2:p:591-611.

    Full description at Econpapers || Download paper

  17. Comovement in Euro Area Housing Prices: A Fractional Cointegration Approach. (2013). GUPTA, RANGAN ; Gil-Alana, Luis ; André, Christophe ; Andre, Christophe.
    In: Working Papers.
    RePEc:pre:wpaper:201359.

    Full description at Econpapers || Download paper

  18. Testing for Persistence in Housing Price-to-Income and Price-to-Rent Ratios in 16 OECD Countries. (2013). GUPTA, RANGAN ; Gil-Alana, Luis ; André, Christophe ; Andre, Christophe.
    In: Working Papers.
    RePEc:pre:wpaper:201321.

    Full description at Econpapers || Download paper

  19. Long memory in the ukrainian stock market and financial crises. (2013). Plastun, Alex ; Makarenko, Inna ; Gil-Alana, Luis ; Caporale, Guglielmo Maria.
    In: MPRA Paper.
    RePEc:pra:mprapa:59061.

    Full description at Econpapers || Download paper

  20. Estimating the Long-Memory Parameter in Nonstationary Processes Using Wavelets. (2013). PEGUIN-FEISSOLLE, Anne ; Boubaker, Heni.
    In: Computational Economics.
    RePEc:kap:compec:v:42:y:2013:i:3:p:291-306.

    Full description at Econpapers || Download paper

  21. A unified framework for testing in the linear regression model under unknown order of fractional integration. (2013). Sibbertsen, Philipp ; Kruse, Robinson ; Christensen, Bent Jesper.
    In: Hannover Economic Papers (HEP).
    RePEc:han:dpaper:dp-519.

    Full description at Econpapers || Download paper

  22. Testing for a break in trend when the order of integration is unknown. (2013). Taylor, Robert ; Leybourne, Stephen ; Iacone, Fabrizio ; Robert Taylor, A. M., .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:176:y:2013:i:1:p:30-45.

    Full description at Econpapers || Download paper

  23. Unemployment in the US. Unemployment rate versus claimant counts. Mean reversion, persistence or hysteresis. (2013). Gil-Alana, Luis ; Jiang, Liang.
    In: Economics Bulletin.
    RePEc:ebl:ecbull:eb-11-00705.

    Full description at Econpapers || Download paper

  24. Long Memory and Fractional Integration in High Frequency Data on the US Dollar / British Pound Spot Exchange Rate. (2013). Gil-Alana, Luis ; Caporale, Guglielmo Maria.
    In: Discussion Papers of DIW Berlin.
    RePEc:diw:diwwpp:dp1294.

    Full description at Econpapers || Download paper

  25. Long Memory in the Ukrainian Stock Market. (2013). Gil-Alana, Luis ; Caporale, Guglielmo Maria.
    In: Discussion Papers of DIW Berlin.
    RePEc:diw:diwwpp:dp1279.

    Full description at Econpapers || Download paper

  26. Long Memory and Fractional Integration in High Frequency Data on the US Dollar / British Pound Spot Exchange Rate. (2013). Gil-Alana, Luis ; Caporale, Guglielmo Maria.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_4224.

    Full description at Econpapers || Download paper

  27. A unified framework for testing in the linear regression model under unknown order of fractional integration. (2013). Sibbertsen, Philipp ; Kruse, Robinson ; Christensen, Bent Jesper.
    In: CREATES Research Papers.
    RePEc:aah:create:2013-35.

    Full description at Econpapers || Download paper

  28. Inflation Convergence in Central and Eastern Europe with a View to Adopting the Euro. (2012). Taylor, Karl ; Gil-Alana, Luis ; Cuestas, Juan.
    In: Working Papers.
    RePEc:shf:wpaper:2012005.

    Full description at Econpapers || Download paper

  29. Persistence in Real Exchange Rate Convergence. (2012). Yazgan, Ege ; Stengos, Thanasis.
    In: Working Paper series.
    RePEc:rim:rimwps:16_12.

    Full description at Econpapers || Download paper

  30. Comparaison of several estimation procedures for long term behavior. (2012). GUEGAN, Dominique ; Zhu, Beijia ; Lu, Zhiping .
    In: Documents de travail du Centre d'Economie de la Sorbonne.
    RePEc:mse:cesdoc:12008.

    Full description at Econpapers || Download paper

  31. Persistence in Real Exchange Rate Convergence.. (2012). Yazgan, Ege ; Stengos, Thanasis.
    In: Working Papers.
    RePEc:gue:guelph:2012-07..

    Full description at Econpapers || Download paper

  32. Comovements among U.S. state housing prices: Evidence from fractional cointegration. (2012). Payne, James ; Gil-Alana, Luis ; Barros, Carlos.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:29:y:2012:i:3:p:936-942.

    Full description at Econpapers || Download paper

  33. Testing the Marshall-Lerner Condition in Kenya. (2012). Gil-Alana, Luis ; Caporale, Guglielmo Maria ; Mudida, Robert.
    In: Discussion Papers of DIW Berlin.
    RePEc:diw:diwwpp:dp1247.

    Full description at Econpapers || Download paper

  34. Long Memory in German Energy Price Indices. (2012). Gil-Alana, Luis ; Caporale, Guglielmo Maria ; Barros, Carlos.
    In: Discussion Papers of DIW Berlin.
    RePEc:diw:diwwpp:dp1186.

    Full description at Econpapers || Download paper

  35. Long Memory in German Energy Price Indices. (2012). Gil-Alana, Luis ; Caporale, Guglielmo Maria ; Barros, Carlos.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_3935.

    Full description at Econpapers || Download paper

  36. Stock market prices in China. Efficiency, mean reversion, long memory volatility and other implicit dynamics. (2011). Gil-Alana, Luis ; Cao, Yun .
    In: Faculty Working Papers.
    RePEc:una:unccee:wp1211.

    Full description at Econpapers || Download paper

  37. Persistence in Convergence. (2011). Yazgan, Ege ; Stengos, Thanasis.
    In: Working Paper series.
    RePEc:rim:rimwps:34_11.

    Full description at Econpapers || Download paper

  38. An I() model with trend and cycles. (2011). Abadir, Karim ; Distaso, Walter ; Giraitis, Liudas.
    In: Post-Print.
    RePEc:hal:journl:peer-00834425.

    Full description at Econpapers || Download paper

  39. Estimation of fractional integration under temporal aggregation. (2011). Hassler, Uwe.
    In: Post-Print.
    RePEc:hal:journl:peer-00815563.

    Full description at Econpapers || Download paper

  40. An I() model with trend and cycles. (2011). Abadir, Karim ; Distaso, Walter ; Giraitis, Liudas.
    In: Post-Print.
    RePEc:hal:journl:hal-00834425.

    Full description at Econpapers || Download paper

  41. Estimation of fractional integration under temporal aggregation. (2011). Hassler, Uwe.
    In: Post-Print.
    RePEc:hal:journl:hal-00815563.

    Full description at Econpapers || Download paper

  42. Persistence in Convergence. (2011). Yazgan, Ege ; Stengos, Thanasis.
    In: Working Papers.
    RePEc:gue:guelph:2011-05..

    Full description at Econpapers || Download paper

  43. An I(d) model with trend and cycles. (2011). Giraitis, Liudas ; Abadir, Karim ; Distaso, Walter .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:163:y:2011:i:2:p:186-199.

    Full description at Econpapers || Download paper

  44. Estimation of fractional integration under temporal aggregation. (2011). Hassler, Uwe.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:162:y:2011:i:2:p:240-247.

    Full description at Econpapers || Download paper

  45. Local Whittle estimation of multi‐variate fractionally integrated processes. (2011). Nielsen, Frank S..
    In: Journal of Time Series Analysis.
    RePEc:bla:jtsera:v:32:y:2011:i:3:p:317-335.

    Full description at Econpapers || Download paper

  46. Estimators of long-memory: Fourier versus wavelets. (2009). Moulines, Eric ; Taqqu, Murad S. ; Fa, Gilles ; Roueff, Franois .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:151:y:2009:i:2:p:159-177.

    Full description at Econpapers || Download paper

  47. Two estimators of the long-run variance: Beyond short memory. (2009). Giraitis, Liudas ; Abadir, Karim ; Distaso, Walter .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:150:y:2009:i:1:p:56-70.

    Full description at Econpapers || Download paper

  48. Local Whittle estimation of multivariate fractionally integrated processes. (2009). Nielsen, Frank.
    In: CREATES Research Papers.
    RePEc:aah:create:2009-38.

    Full description at Econpapers || Download paper

  49. Local polynomial Whittle estimation covering non-stationary fractional processes. (2008). Nielsen, Frank.
    In: CREATES Research Papers.
    RePEc:aah:create:2008-28.

    Full description at Econpapers || Download paper

  50. Log Periodogram Regression: The Nonstationary Case. (2006). Phillips, Peter ; Kim, Chang Sik.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1587.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2024-12-24 09:31:15 || 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.