Nothing Special   »   [go: up one dir, main page]
create a website
Oil Prices and the Stock Market*. (2018). Ready, Robert C.
In: Review of Finance.
RePEc:oup:revfin:v:22:y:2018:i:1:p:155-176..

Full description at Econpapers || Download paper

Cited: 72

Citations received by this document

Cites: 25

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. Exploring the sensitivity of BRICS stock markets to oil Price shocks: a quantile-on-quantile perspective. (2024). Bonga-Bonga, Lumengo.
    In: MPRA Paper.
    RePEc:pra:mprapa:120190.

    Full description at Econpapers || Download paper

  2. Return and volatility spillovers among oil price shocks and international green bond markets. (2024). Umar, Muhammad ; Usman, Muhammad ; Aikins, Emmanuel Joel ; Hadhri, Sinda.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:69:y:2024:i:c:s0275531924000461.

    Full description at Econpapers || Download paper

  3. Dynamic spillover between oil price shocks and technology stock indices: A country level analysis. (2024). Gubareva, Mariya ; Manel, Youssef ; Mokni, Khaled ; Umar, Zaghum.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:69:y:2024:i:c:s0275531924000230.

    Full description at Econpapers || Download paper

  4. Asymmetric effects of oil prices on inflation in Côte d’Ivoire. (2024). Taha, Cyrille K ; Ousseini, Bouba ; Moussa, Richard K.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:90:y:2024:i:c:s0301420724002095.

    Full description at Econpapers || Download paper

  5. Oil shocks and financial stability in MENA countries. (2024). Sousa, Ricardo ; Sohag, Kazi ; Elsayed, Ahmed.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:89:y:2024:i:c:s0301420724000205.

    Full description at Econpapers || Download paper

  6. Economic policy uncertainty and natural resources commodity prices: A comparative analysis of pre- and post-pandemic quantile trends in China. (2024). Zhang, Chunguang ; Du, HE.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:88:y:2024:i:c:s0301420723011698.

    Full description at Econpapers || Download paper

  7. Asymmetric impact of oil price shocks on inflation: Evidence from quantile-on-quantile regression. (2024). Sun, Yang ; Ge, Zhenyu.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:92:y:2024:i:c:s1057521924000292.

    Full description at Econpapers || Download paper

  8. Volatility prediction for the energy sector with economic determinants: Evidence from a hybrid model. (2024). Liu, Xiaoquan ; Jiang, Ying ; Ye, Wuyi ; Wang, Yuejing.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:92:y:2024:i:c:s1057521924000267.

    Full description at Econpapers || Download paper

  9. Chinas futures market volatility and sectoral stock market volatility prediction. (2024). Zhong, Juandan ; Zhang, Jixiang ; Zeng, Qing.
    In: Energy Economics.
    RePEc:eee:eneeco:v:132:y:2024:i:c:s0140988324001373.

    Full description at Econpapers || Download paper

  10. Connectedness between oil price shocks and US sector returns: Evidence from TVP-VAR and wavelet decomposition. (2024). Esparcia, Carlos ; Lopez, Raquel ; Jareo, Francisco ; Sevillano, Maria Caridad.
    In: Energy Economics.
    RePEc:eee:eneeco:v:131:y:2024:i:c:s0140988324001063.

    Full description at Econpapers || Download paper

  11. Unraveling the multiscale comovement of green bonds and structural shocks: An oil-driven analysis. (2024). Zeitun, Rami ; Nautiyal, Neeraj ; Ur, Mobeen ; Ghardallou, Wafa ; Vo, Xuan Vinh.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000470.

    Full description at Econpapers || Download paper

  12. Quantile connectedness of oil price shocks with socially responsible investments. (2024). Umar, Zaghum ; Malik, Farooq.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:70:y:2024:i:c:s1062940823001894.

    Full description at Econpapers || Download paper

  13. The role of oil and risk shocks in the high?frequency movements of the term structure of interest rates: Evidence from the U.S. Treasury market. (2023). GUPTA, RANGAN ; Subramaniam, Sowmya ; Sheng, Xin ; Hussain, Syed Jawad.
    In: International Journal of Finance & Economics.
    RePEc:wly:ijfiec:v:28:y:2023:i:2:p:1845-1857.

    Full description at Econpapers || Download paper

  14. Oil and US stock market shocks: Implications for Canadian equities. (2023). Mahadeo, Scott ; Heinlein, Reinhold.
    In: Canadian Journal of Economics/Revue canadienne d'économique.
    RePEc:wly:canjec:v:56:y:2023:i:1:p:247-287.

    Full description at Econpapers || Download paper

  15. How do energy price hikes affect exchange rates during the war in Ukraine?. (2023). Lee, Chien-Chiang ; Sokhanvar, Amin.
    In: Empirical Economics.
    RePEc:spr:empeco:v:64:y:2023:i:5:d:10.1007_s00181-022-02320-7.

    Full description at Econpapers || Download paper

  16. A Markov Switching Approach in Assessing Oil Price and Stock Market Nexus in the Last Decade: The Impact of the COVID-19 Pandemic. (2023). Phoong, Seuk Yen ; al Mahi, Masnun.
    In: SAGE Open.
    RePEc:sae:sagope:v:13:y:2023:i:1:p:21582440231153855.

    Full description at Econpapers || Download paper

  17. Volatility spillover between oil and stock prices: Structural connectedness based on a multi-sector DSGE model approach with Bayesian estimation. (2023). Qiao, Hui ; Chan, Ying Tung.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:87:y:2023:i:c:p:265-286.

    Full description at Econpapers || Download paper

  18. The asymmetric impact of oil price shocks on China stock market: Evidence from quantile-on-quantile regression. (2023). Ge, Zhenyu.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:89:y:2023:i:c:p:120-125.

    Full description at Econpapers || Download paper

  19. Financial stress in Russia: Exploring the impact of oil market shocks. (2023). Sohag, Kazi ; Elsayed, Ahmed ; Kalina, Irina.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:86:y:2023:i:pb:s0301420723008619.

    Full description at Econpapers || Download paper

  20. Vulnerability of sustainable markets to fossil energy shocks. (2023). Ren, Xiaohang ; Taghizadeh-Hesary, Farhad ; Li, Yiying.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:85:y:2023:i:pb:s0301420723005901.

    Full description at Econpapers || Download paper

  21. Crude oil price shocks, volatility spillovers, and global systemic financial risk transmission mechanisms: Evidence from the stock and foreign exchange markets. (2023). Zhang, Jianshun ; Chen, Jianyu.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:85:y:2023:i:pb:s030142072300586x.

    Full description at Econpapers || Download paper

  22. Volatility spillovers and frequency dependence between oil price shocks and green stock markets. (2023). Mensi, Walid ; Alomari, Mohammed ; Rodina, Victoria ; Teplova, Tamara ; Hanif, Waqas.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:85:y:2023:i:pb:s0301420723005718.

    Full description at Econpapers || Download paper

  23. Is the impact of oil shocks more pronounced during extreme market conditions?. (2023). Kang, Sang Hoon ; Ghardallou, Wafa ; Vo, Xuan Vinh ; Nautiyal, Neeraj ; Ur, Mobeen.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:85:y:2023:i:pa:s0301420723006104.

    Full description at Econpapers || Download paper

  24. Quantile connectedness between oil price shocks and exchange rates. (2023). Bossman, Ahmed ; Umar, Zaghum.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:83:y:2023:i:c:s0301420723003690.

    Full description at Econpapers || Download paper

  25. The volatility of natural resources implications for sustainable development: Crude oil volatility prediction based on the multivariate structural regime switching. (2023). Ma, Feng ; Tang, Yusui.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:83:y:2023:i:c:s0301420723003239.

    Full description at Econpapers || Download paper

  26. The effect of energy price shocks on commodity currencies during the war in Ukraine. (2023). Iftiolu, Serhan ; Sokhanvar, Amin ; Lee, Chien-Chiang.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:82:y:2023:i:c:s0301420723002829.

    Full description at Econpapers || Download paper

  27. The impact of oil shocks from different sources on Chinas clean energy metal stocks: An analysis of spillover effects based on a time-varying perspective. (2023). Lin, Boqiang ; Zhang, Hongwei ; Shi, Fengyuan ; Guo, Yaoqi.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:81:y:2023:i:c:s030142072300065x.

    Full description at Econpapers || Download paper

  28. International stock market volatility: A data-rich environment based on oil shocks. (2023). Wen, Fenghua ; Wang, Tianyang ; Ma, Feng ; Lu, Xinjie.
    In: Journal of Economic Behavior & Organization.
    RePEc:eee:jeborg:v:214:y:2023:i:c:p:184-215.

    Full description at Econpapers || Download paper

  29. Spillover relationship between different oil shocks and high- and low-carbon assets: An analysis based on time-frequency spillover effects. (2023). Shi, Fengyuan ; Lu, Jinjin ; Liu, Yanqiong.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:58:y:2023:i:pc:s1544612323008887.

    Full description at Econpapers || Download paper

  30. Cross-country study of the linkages between COVID-19, oil prices, and inflation in the G7 countries. (2023). Azman, Mukhriz Izraf ; Aharon, David Y ; Nor, Safwan Mohd.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:57:y:2023:i:c:s1544612323005445.

    Full description at Econpapers || Download paper

  31. Non-linear relationship between oil and cryptocurrencies: Evidence from returns and shocks. (2023). Shah, Adil Ahmad ; Yarovaya, Larisa ; Abrar, Afsheen ; Karim, Sitara ; Naeem, Muhammad Abubakr.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002855.

    Full description at Econpapers || Download paper

  32. Does Bitcoin affect decomposed oil shocks differently? Evidence from a quantile-based framework. (2023). Urquhart, Andrew ; Duan, Kun ; Gao, DA ; Feng, Hao.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002727.

    Full description at Econpapers || Download paper

  33. Risk transmission from the energy markets to the carbon market: Evidence from the recursive window approach. (2023). Brooks, Robert ; Hasanov, Akram Shavkatovich ; Vellachami, Sanggetha.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002314.

    Full description at Econpapers || Download paper

  34. Multilayer information spillover networks between oil shocks and banking sectors: Evidence from oil-rich countries. (2023). Elsayed, Ahmed ; Wang, Gang-Jin ; Uddin, Gazi Salah ; Naifar, Nader.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001187.

    Full description at Econpapers || Download paper

  35. Decomposed oil price shocks and GCC stock market sector returns and volatility. (2023). Abuzayed, Bana ; Bouri, Elie ; Al-Fayoumi, Nedal.
    In: Energy Economics.
    RePEc:eee:eneeco:v:126:y:2023:i:c:s0140988323004280.

    Full description at Econpapers || Download paper

  36. Early warning of exchange rate risk based on structural shocks in international oil prices using the LSTM neural network model. (2023). Xu, Nuo ; Feng, Chen ; Zhao, Yinglan ; Liu, Chang ; Peng, Song.
    In: Energy Economics.
    RePEc:eee:eneeco:v:126:y:2023:i:c:s014098832300419x.

    Full description at Econpapers || Download paper

  37. The asymmetric effects of oil price shocks on green innovation. (2023). Zhong, Angel ; Yu, Jing ; Hu, Xiaolu.
    In: Energy Economics.
    RePEc:eee:eneeco:v:125:y:2023:i:c:s0140988323003882.

    Full description at Econpapers || Download paper

  38. Dynamic effects and driving intermediations of oil price shocks on major economies. (2023). Chai, Jian ; Xiao, Hao ; Lin, Jie.
    In: Energy Economics.
    RePEc:eee:eneeco:v:124:y:2023:i:c:s0140988323002773.

    Full description at Econpapers || Download paper

  39. Managerial performance and oil price shocks. (2023). Zhang, Qin ; Wong, Jin Boon.
    In: Energy Economics.
    RePEc:eee:eneeco:v:124:y:2023:i:c:s0140988323002621.

    Full description at Econpapers || Download paper

  40. The relative response of Russian National Wealth Fund to oil demand, supply and risk shocks. (2023). Sohag, Kazi ; Mariev, Oleg ; Kalina, Irina ; Hassan, M. Kabir.
    In: Energy Economics.
    RePEc:eee:eneeco:v:123:y:2023:i:c:s0140988323002220.

    Full description at Econpapers || Download paper

  41. Do uncertainties affect clean energy markets? Comparisons from a multi-frequency and multi-quantile framework. (2023). Ren, Xiaohang ; Yan, Cheng ; Li, Yiying.
    In: Energy Economics.
    RePEc:eee:eneeco:v:121:y:2023:i:c:s0140988323001779.

    Full description at Econpapers || Download paper

  42. The role of the COVID-19 pandemic in time-frequency connectedness between oil market shocks and green bond markets: Evidence from the wavelet-based quantile approaches. (2023). Ren, Xiaohang ; Gözgör, Giray ; Gozgor, Giray ; Qi, Yinshu ; Wei, Ping.
    In: Energy Economics.
    RePEc:eee:eneeco:v:121:y:2023:i:c:s014098832300155x.

    Full description at Econpapers || Download paper

  43. Oil price shocks and exchange rate dynamics: Evidence from decomposed and partial connectedness measures for oil importing and exporting economies. (2023). Gözgör, Giray ; Elsayed, Ahmed ; Gozgor, Giray ; Gabauer, David ; Chatziantoniou, Ioannis.
    In: Energy Economics.
    RePEc:eee:eneeco:v:120:y:2023:i:c:s0140988323001251.

    Full description at Econpapers || Download paper

  44. The connectedness of oil shocks, green bonds, sukuks and conventional bonds. (2023). Sokolova, Tatiana ; Hadhri, Sinda ; Abrar, Afsheen ; Umar, Zaghum.
    In: Energy Economics.
    RePEc:eee:eneeco:v:119:y:2023:i:c:s0140988323000609.

    Full description at Econpapers || Download paper

  45. Does oil price uncertainty affect corporate innovation?. (2023). Aktas, Elvan ; Wang, Xinyu ; Amin, Md Ruhul.
    In: Energy Economics.
    RePEc:eee:eneeco:v:118:y:2023:i:c:s0140988323000117.

    Full description at Econpapers || Download paper

  46. Co?movement among oil, stock, bond, and housing markets: An analysis of U.S., Asian, and European economies. (2023). Yunus, Nafeesa.
    In: International Review of Finance.
    RePEc:bla:irvfin:v:23:y:2023:i:2:p:393-436.

    Full description at Econpapers || Download paper

  47. Oil Price Shocks and Bond Risk Premia: Evidence from a Panel of 15 Countries. (2023). Nersisyan, Liana ; Lyrio, Marco ; Iania, Leonardo.
    In: LIDAM Discussion Papers LFIN.
    RePEc:ajf:louvlf:2023002.

    Full description at Econpapers || Download paper

  48. .

    Full description at Econpapers || Download paper

  49. Financial Stress and Basis in Energy Markets. (2021). Manera, Matteo ; Niaz, Maryam Ahmadi.
    In: The Energy Journal.
    RePEc:aen:journl:ej42-5-bashiri.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Bekaert, G. and Hoerova, M. (2014) The vix, the variance premium and stock market volatility, Journal of Econometrics 183, 181–192.

  2. Bollerslev, T., Tauchen, G., and Zhou, H. (2009) Expected stock returns and variance risk premia, Review of Financial Studies 22, 4463–4492.

  3. Carlson, M., Khokher, Z., and Titman, S. (2007) Equilibrium exhaustible resource price dynamics, Journal of Finance 62, 1663–1703.

  4. Casassus, J., Collin-Dufresne, P., and Routledge, B. R. (2005) Equilibrium commodity prices with irreversible investment and non-linear technology. Working paper series.

  5. Cavallo, M. and Wu, T. (2006) Measuring oil–price shocks using market-based information. Technical report.

  6. Chen, N.-F., Roll, R., and Ross, S. A. (1986) Economic forces and the stock market, Journal of Business 59, 383–403.

  7. Chiang, I., Ethan, H., Keener Hughen, W., and Sagi, J. S. (2015) Estimating oil risk factors using information from equity and derivatives markets, The Journal of Finance 70(2), 769–804.

  8. Fama, E. F. and French, K. R. (1997) Industry costs of equity, Journal of Financial Economics 43, 153–193.

  9. Ghoddusi, H. (2010) Dynamic investment in extraction capacity of exhaustible resources, Scottish Journal of Political Economy 57, 359–373.

  10. Gilje, E., Ready, R., and Roussanov, N. (2015) Fracking, drilling, and asset pricing: estimating the economic benefits of the shale revolution, Working Paper.
    Paper not yet in RePEc: Add citation now

  11. Hamilton, J. D. (1983) Oil and the macroeconomy since World War II, Journal of Political Economy 91, 228–248.

  12. Hamilton, J. D. (2003) What is an oil shock?, Journal of Econometrics 113, 363–398.

  13. Hamilton, J. D. (2008) Understanding crude oil prices. NBER Working papers 14492, National Bureau of Economic Research, Inc.

  14. Hotelling, H. (1931) The economics of exhaustible resources, The Journal of Political Economy 39, 137–175.

  15. Huang, R., Masulis, R. W., and Stoll, H. R. (1996) Energy shocks and financial markets, Journal of Futures Markets 16, 1–27.

  16. Jones, C. and Kaul, G. (1996) Oil and the stock markets, Journal of Finance 51, 463–491.

  17. Kilian, L. (2009) Not all oil price shocks are alike: disentangling demand and supply shocks in the crude oil market, The American Economic Review 99, 1053–1069.

  18. Kilian, L. and Park, C. (2009) The impact of oil price shocks on the U.S. stock market*, International Economic Review 50, 1267–1287.

  19. Kogan, L., Livdan, D., and Yaron, A. (2009) Oil futures prices in a production economy with investment constraints, The Journal of Finance 64, 1345–1375.

  20. Kolodzeij, M. and Kaufmann, R. K. (2014) Oil demand shocks reconsidered: a cointegrated vector autoregression, Energy Economics 41, 33–40.

  21. Oil Prices and the Stock Market 175 Downloaded from https://academic.oup.com/rof/article/22/1/155/3001066 by White and Case LLP user on May Kilian, L. (2008) Exogenous oil supply shocks: how big are they and how much do they matter for the us economy?, The Review of Economics and Statistics 90, 216–240.
    Paper not yet in RePEc: Add citation now
  22. Ready, R. C. (2016) Oil consumption, economic growth, and oil futures: the impact of long-run oil supply uncertainty on asset prices. Working paper.
    Paper not yet in RePEc: Add citation now

  23. Sadorsky, P. (1999) Oil price shocks and stock market activity, Energy Economics 21, 449–469.

  24. White, H. (1980) A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity, Econometrica 48, 817–838.
    Paper not yet in RePEc: Add citation now
  25. Yogo, M. (2005) A consumption-based explanation of expected stock returns, Journal of Finance 61, 539–580. 176 R. C. Ready Downloaded from https://academic.oup.com/rof/article/22/1/155/3001066 by White and Case LLP user on May
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. Deflationary financial shocks and inflationary uncertainty shocks: an SVAR Investigation. (2022). van der Veken, Wouter ; de Santis, Roberto A.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20222727.

    Full description at Econpapers || Download paper

  2. Attention-grabbing IPOs in early stages for IT firms: An empirical analysis of post-IPO performance. (2020). Kwon, Youngok ; Chang, Young Bong.
    In: Journal of Business Research.
    RePEc:eee:jbrese:v:109:y:2020:i:c:p:111-119.

    Full description at Econpapers || Download paper

  3. Forecasting realized volatility: HAR against Principal Components Combining, neural networks and GARCH. (2017). Vortelinos, Dimitrios I.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:39:y:2017:i:pb:p:824-839.

    Full description at Econpapers || Download paper

  4. The joint cross-sectional variation of equity returns and volatilities. (2017). Gonzalez-Urteaga, Ana ; Rubio, Gonzalo.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:75:y:2017:i:c:p:17-34.

    Full description at Econpapers || Download paper

  5. Macroeconomic experiences and risk taking of euro area households. (2017). Ehrmann, Michael ; Ampudia Fraile, Miguel.
    In: European Economic Review.
    RePEc:eee:eecrev:v:91:y:2017:i:c:p:146-156.

    Full description at Econpapers || Download paper

  6. Forecasting the realized range-based volatility using dynamic model averaging approach. (2017). , ; Wei, YU ; Liu, Jing ; Ma, Feng.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:61:y:2017:i:c:p:12-26.

    Full description at Econpapers || Download paper

  7. Foreign Booms, Domestic Busts: The Global Dimension of Banking Crises. (2017). Thwaites, Gregory ; Eguren Martin, Fernando ; Cesa-Bianchi, Ambrogio.
    In: Discussion Papers.
    RePEc:cfm:wpaper:1708.

    Full description at Econpapers || Download paper

  8. Market volatility, monetary policy and the term premium. (2017). Mohanty, Madhusudan ; Mallick, Sushanta ; Zampolli, Fabrizio .
    In: BIS Working Papers.
    RePEc:bis:biswps:606.

    Full description at Econpapers || Download paper

  9. Expected Currency Returns and Volatility Risk Premia. (2017). ORNELAS, JOSE ; Haas, Jose Renato.
    In: Working Papers Series.
    RePEc:bcb:wpaper:454.

    Full description at Econpapers || Download paper

  10. Dynamics of Variance Risk Premia, Investors Sentiment and Return Predictability. (2017). Violante, Francesco ; Stentoft, Lars.
    In: CREATES Research Papers.
    RePEc:aah:create:2017-10.

    Full description at Econpapers || Download paper

  11. Systemic co-jumps. (2016). Caporin, Massimiliano ; Reno, Roberto ; Kolokolov, Alexey .
    In: SAFE Working Paper Series.
    RePEc:zbw:safewp:149.

    Full description at Econpapers || Download paper

  12. On the use of high frequency measures of volatility in MIDAS regressions. (2016). Andreou, Elena.
    In: University of Cyprus Working Papers in Economics.
    RePEc:ucy:cypeua:03-2016.

    Full description at Econpapers || Download paper

  13. Skewness in Expected Macro Fundamentals and the Predictability of Equity Returns: Evidence and Theory. (2016). Ghysels, Eric ; Colacito, Riccardo ; Siwasarit, Wasin ; Meng, Jinghan .
    In: Review of Financial Studies.
    RePEc:oup:rfinst:v:29:y:2016:i:8:p:2069-2109..

    Full description at Econpapers || Download paper

  14. Macroeconomic effects of financial stress and the role of monetary policy: a VAR analysis for the euro area. (2016). Kremer, Manfred.
    In: International Economics and Economic Policy.
    RePEc:kap:iecepo:v:13:y:2016:i:1:d:10.1007_s10368-015-0325-z.

    Full description at Econpapers || Download paper

  15. Comparing Predictive Accuracy under Long Memory - With an Application to Volatility Forecasting. (2016). Leschinski, Christian ; Kruse, Robinson ; Will, Michael .
    In: Hannover Economic Papers (HEP).
    RePEc:han:dpaper:dp-571.

    Full description at Econpapers || Download paper

  16. Option-implied term structures. (2016). Vogt, Erik.
    In: Staff Reports.
    RePEc:fip:fednsr:706.

    Full description at Econpapers || Download paper

  17. Does variance risk have two prices? Evidence from the equity and option markets. (2016). Malkhozov, Aytek.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:121:y:2016:i:1:p:79-92.

    Full description at Econpapers || Download paper

  18. Quadratic variance swap models. (2016). Filipovi, Damir ; Mancini, Loriano ; Gourier, Elise .
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:119:y:2016:i:1:p:44-68.

    Full description at Econpapers || Download paper

  19. Credit constraints and the international propagation of US financial shocks. (2016). Metiu, Norbert ; Grill, Michael ; Hilberg, Bjorn .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:72:y:2016:i:c:p:67-80.

    Full description at Econpapers || Download paper

  20. What do asset prices have to say about risk appetite and uncertainty?. (2016). Hoerova, Marie ; Bekaert, Geert.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:67:y:2016:i:c:p:103-118.

    Full description at Econpapers || Download paper

  21. How does the market variance risk premium vary over time? Evidence from S&P 500 variance swap investment returns. (2016). Skiadopoulos, George ; Konstantinidi, Eirini.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:62:y:2016:i:c:p:62-75.

    Full description at Econpapers || Download paper

  22. Extreme asymmetric volatility: Stress and aggregate asset prices. (2016). Wagner, Niklas ; Aboura, Sofiane.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:41:y:2016:i:c:p:47-59.

    Full description at Econpapers || Download paper

  23. The impact of political risk on return, volatility and discontinuity: Evidence from the international stock and foreign exchange markets. (2016). Vortelinos, Dimitrios I ; Saha, Shrabani.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:17:y:2016:i:c:p:222-226.

    Full description at Econpapers || Download paper

  24. On the use of high frequency measures of volatility in MIDAS regressions. (2016). Andreou, Elena.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:193:y:2016:i:2:p:367-389.

    Full description at Econpapers || Download paper

  25. Exploiting the errors: A simple approach for improved volatility forecasting. (2016). Quaedvlieg, Rogier ; Patton, Andrew ; Bollerslev, Tim.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:192:y:2016:i:1:p:1-18.

    Full description at Econpapers || Download paper

  26. Revisiting the long memory dynamics of the implied–realized volatility relationship: New evidence from the wavelet regression. (2016). Baruník, Jozef ; Hlinkova, Michaela ; Barunik, Jozef.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:54:y:2016:i:c:p:503-514.

    Full description at Econpapers || Download paper

  27. Credit constraints and the international propagation of US financial shocks. (2016). Metiu, Norbert ; Grill, Michael ; Hilberg, Bjorn .
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20161954.

    Full description at Econpapers || Download paper

  28. Ambiguity and Time-Varying Risk Aversion in Sovereign Debt Markets. (2016). Podstawski, Maximilian ; Große Steffen, Christoph.
    In: Discussion Papers of DIW Berlin.
    RePEc:diw:diwwpp:dp1602.

    Full description at Econpapers || Download paper

  29. Nonlinearity and Flight-to-Safety in the Risk-Return Tradeoff for Stocks and Bonds. (2016). Vogt, Erik ; Crump, Richard ; Adrian, Tobias.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:11401.

    Full description at Econpapers || Download paper

  30. On the use of high frequency measures of volatility in MIDAS regressions. (2016). Andreou, Elena.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:11307.

    Full description at Econpapers || Download paper

  31. Financial market volatility, macroeconomic fundamentals and investor sentiment. (2016). Stoja, Evarist ; Harris, Richard ; Chiu, Ching-Wai (Jeremy).
    In: Bank of England working papers.
    RePEc:boe:boeewp:0608.

    Full description at Econpapers || Download paper

  32. Comparing Predictive Accuracy under Long Memory - With an Application to Volatility Forecasting. (2016). Leschinski, Christian ; Kruse, Robinson ; Will, Michael .
    In: CREATES Research Papers.
    RePEc:aah:create:2016-17.

    Full description at Econpapers || Download paper

  33. Financial connectedness among European volatility risk premia. (2015). cipollini, andrea ; Muzzioli, Silvia ; lo Cascio, Iolanda.
    In: Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance).
    RePEc:mod:wcefin:15112.

    Full description at Econpapers || Download paper

  34. Asset Return Dynamics under Habits and Bad-Environment Good-Environment Fundamentals. (2015). Bekaert, Geert ; Engstrom, Eric.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2015-53.

    Full description at Econpapers || Download paper

  35. The response of stock market volatility to futures-based measures of monetary policy shocks. (2015). Gospodinov, Nikolay ; Jamali, Ibrahim.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:37:y:2015:i:c:p:42-54.

    Full description at Econpapers || Download paper

  36. Tail risk premia and return predictability. (2015). Bollerslev, Tim ; Xu, Lai ; Todorov, Viktor.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:118:y:2015:i:1:p:113-134.

    Full description at Econpapers || Download paper

  37. Risk aversion and monetary policy in a global context. (2015). Nave, Juan M ; Ruiz, Javier .
    In: Journal of Financial Stability.
    RePEc:eee:finsta:v:20:y:2015:i:c:p:14-35.

    Full description at Econpapers || Download paper

  38. Volatility-of-volatility and tail risk hedging returns. (2015). Park, Yang-Ho .
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:26:y:2015:i:c:p:38-63.

    Full description at Econpapers || Download paper

  39. Volatility co-movements: A time-scale decomposition analysis. (2015). cipollini, andrea ; Muzzioli, Silvia ; lo Cascio, Iolanda.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:34:y:2015:i:c:p:34-44.

    Full description at Econpapers || Download paper

  40. Fear or fundamentals? Heterogeneous beliefs in the European sovereign CDS market. (2015). Wu, Eliza ; ter Ellen, Saskia ; He, Xuezhong ; Chiarella, Carl.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:32:y:2015:i:c:p:19-34.

    Full description at Econpapers || Download paper

  41. The variance risk premium and fundamental uncertainty. (2015). Conrad, Christian ; Loch, Karin .
    In: Economics Letters.
    RePEc:eee:ecolet:v:132:y:2015:i:c:p:56-60.

    Full description at Econpapers || Download paper

  42. A global factor in variance risk premia and local bond pricing. (2015). Roberts-Sklar, Matt ; Kaminska, Iryna.
    In: Bank of England working papers.
    RePEc:boe:boeewp:0576.

    Full description at Econpapers || Download paper

  43. Volatility contagion: new evidence from market pricing of volatility risk. (2015). Raczko, Marek.
    In: Bank of England working papers.
    RePEc:boe:boeewp:0552.

    Full description at Econpapers || Download paper

  44. Does variance risk have two prices? Evidence from the equity and option markets. (2015). Malkhozov, Aytek.
    In: BIS Working Papers.
    RePEc:bis:biswps:521.

    Full description at Econpapers || Download paper

  45. The Variance Risk Premium and Fundamental Uncertainty. (2015). Conrad, Christian ; Loch, Karin .
    In: Working Papers.
    RePEc:awi:wpaper:0583.

    Full description at Econpapers || Download paper

  46. Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting. (2015). Quaedvlieg, Rogier ; Patton, Andrew ; Bollerslev, Tim.
    In: CREATES Research Papers.
    RePEc:aah:create:2015-14.

    Full description at Econpapers || Download paper

  47. Global Variance Risk Premium and Forex Return Predictability. (2014). Aloosh, Arash.
    In: MPRA Paper.
    RePEc:pra:mprapa:59931.

    Full description at Econpapers || Download paper

  48. Volatility risk premia and financial connectedness. (2014). Muzzioli, Silvia ; cipollini, andrea ; lo Cascio, Iolanda.
    In: Center for Economic Research (RECent).
    RePEc:mod:recent:109.

    Full description at Econpapers || Download paper

  49. Volatility risk premia and financial connectedness. (2014). Muzzioli, Silvia ; cipollini, andrea ; lo Cascio, Iolanda.
    In: Department of Economics.
    RePEc:mod:depeco:0047.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2024-12-24 09:45:09 || 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.