Nothing Special   »   [go: up one dir, main page]
create a website
بررسی تأثیر نااطمینانی قیمت نفت خام بر رشد بخش صنعت و معدن در ایران کاربردی از مدل‌های تبدیل مارکف. (2014). Babaei Balderlou, Saharnaz ; Heidari, Hassan.
In: MPRA Paper.
RePEc:pra:mprapa:79228.

Full description at Econpapers || Download paper

Cited: 1

Citations received by this document

Cites: 29

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. تفكيك اثرات منشأ شوك‌هاي نفتي بر همبستگی پویای بین رشد بخش صنعت و معدن و قیمت نفت خام در ایران. (2013). Ebrahimi Torki, Mahyar ; Babaei Balderlou, Saharnaz ; Heidari, Hassan.
    In: MPRA Paper.
    RePEc:pra:mprapa:79257.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Asteriou, Dimitrios. (2006). "Applied Econometrics, A Modern Approach Using EViews and Microfit" Published by: Palgrave, Macmillan.
    Paper not yet in RePEc: Add citation now

  2. Bollerslev, Tim. (1986). "Generalized Autoregressive Conditional Heteroskedasticity" Journal of Econometrics, 31, (1986), 307-327. North-Holland.

  3. Chen, S.S. & Hsu, K.W. (2012). "Reverse Globalization: Does High Oil Price Volatility Discourage International Trade?" Energy Economics, Vol. 34, Issue 5, pp. 1634- 1643.

  4. Cunado, J. & Perez de Gracia, F. (2005). "Oil Prices, Economic Activity and Inflation: Evidence for Some Asian Countries" The Quarterly Review of Economics and Finance, no. 45, pp. 65-83.

  5. Darby, Michael R. (1982). "The Price of Oil and World Inflation and Recession"American Economic Review, American Economic Association, Vol. 72(4), pages 738-51, September.

  6. Demachi, Kazue. (2012). "The Effect of Crude Oil Price Change and Volatility on Nigerian Economy"MPRA Paper No. 4141.unpublished. Online at http://mpra.ub.uni-muenchen.de/41413/

  7. Elder, John & Serletis, Apostolos.(2010). "Oil Price Uncertainty."Journal of Money, Credit and Banking" Volume 42, Issue 6, pages 1137–1159, September 2010.

  8. Elmi, Z., Jahadi, M. (2011). "Oil Price Shocks and Economic Growth: Evidence from OPEC and OECD" Australian Journal of Basic and Applied Sciences, Vol. 5(6), pp. 627- 635.
    Paper not yet in RePEc: Add citation now
  9. Enders, W. Translated by: Sadegi, M. and shavvalpour, S. (2007)."Applied Econometrics time series" 1th edition, Imam sadeq University (in Persian).
    Paper not yet in RePEc: Add citation now

  10. Engle, Robert F. (1982). " Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation" Econometrica, Vol. 50, No. 4. (Jul., 1982), pp. 987-1007.

  11. Farzanegan, Mohammad Reza and Markwardt, Gunther. (2009). "The Effects of Oil Price Shocks on the Iranian Economy"Energy Economics, Volume 31, Issue 1, Pages 134–151, January 2009.

  12. Ferderer, J.P. (1996). "Oil Price Volatility and the Macroeconomy" Journal of Macroeconomics, Vol. 18, pp. 1-26.

  13. Filis, G. and Degiannakis, S. and Floros, CH. (2011). "Dynamic Correlation between Stock Market and Oil Prices: The case of oil-importing and oilexporting countries" International Review of Financial Analysis, 20, pp : 152– 164.

  14. Finn, Mary G. (2000). "Perfect Competition and the Effects of Energy Price Increases on Economic Activity" Journal of Money, Credit, and Banking 32, 400-416.

  15. Gómez-Loscos, Ana, Dolores Gadea, María & Montañés, Antonio (2012) "Economic Growth, Inflation and Oil Shocks: Are the 1970s Coming back?" Applied Economics, 44:35, 4575-4589.

  16. Hamilton, D. J. (1996). "This is What Happened to the Oil Price-Macroeconomy Relationship" Journal ofMonetary Economics, 38, 215−220.

  17. Hamilton, James D. (1988). "A Neoclassical Model of Unemployment and the Business Cycle"Journal of Political Economy 96.593-617.

  18. Hamilton, James D. (2003). "What is an Oil Shock?" Journal of Econometrics 113, 363-398.

  19. Hooker, A. M. (1996). "What Happened to the Oil Price–Macroeconomy relationship?" Journal of Monetary Economics, 38, 195−213.

  20. Lee, K., Ni, S., & Ratti, R. A. (1995). "Oil Shocks and the Macroeconomy: the Role of Price Variability" Energy Journal, 16(4), 39−56.

  21. Ming Kuan, Ch. (2002). "Lecture on the Markov Switching Models" Institute of Economics, Avademia Sinica, Taipei 115, Taiwan; site: www.sinica.edu. Tw/as/ssrd/ckuan.
    Paper not yet in RePEc: Add citation now

  22. Mork, Knut A. (1989). "Oil and the Macroeconomy When Prices Go Up and Down: An Extension of Hamilton’s Results" Journal of Political Economy 91.740-744.

  23. Nelson, Daniel B. (1991) "Conditional Heteroskedasticity in Asset Returns: A New Approach" Econometrica, Volume 59, Issue 2 (Mar., 1991), 347-370.

  24. Pindyck, R.H. (1990). "Irreversibility, Uncertainty, and Investment" Journal of Economic Literature, Vol. 29, pp. 110- 148.

  25. Rafiq, S., Salim, R., & Bloch, H. (2009), "Impact of Crude Oil Price Valatility on Economic Activities: An Empirical Investigation in the Thai Economy" Resources Policy, Vol. 34, Issue 3, pp. 121- 132.

  26. Rahman, S. & Serletis, A. (2012). "Oil Price Uncertainty and the Canadian Economy: Evidence from a VARMA, GARCH-in-Mean, Asymmetric BEKK Model"Energy Economics, Vol. 34, pp. 603- 610.

  27. Reyes, R.G. & Raguindin, C.E. (2005). "The Effects of Oil Price Shocks on the Philipine Economy: A VAR Approach" Working Paper, University of thePhilippines, School of Economics.
    Paper not yet in RePEc: Add citation now

  28. Rotemberg, J.J. and M. Woodford.(1996). "Imperfect Competition and the Effects of Energy Price Increases on Economic Activity"Journal of Money, Credit, and Banking 28, 549-577.

  29. Tansuchat, Roengchai, Chang, Chia-Lin and McAleer, Michael.(2010). "Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH" CIRJE Discussion Papers, CIRJE-F-704, http://www.e.u-tokyo.ac.jp/cirje/research/03research02dp.html.

Cocites

Documents in RePEc which have cited the same bibliography

  1. 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

  2. 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

  3. Time reversal invariance in finance. (2007). Zumbach, Gilles .
    In: Papers.
    RePEc:arx:papers:0708.4022.

    Full description at Econpapers || Download paper

  4. Simulation-Based Pricing of Convertible Bonds. (2005). Wilde, Christian ; Ammann, Manuel ; Kind, Axel .
    In: Finance.
    RePEc:wpa:wuwpfi:0507015.

    Full description at Econpapers || Download paper

  5. Measurement of Financial Risk Persistence. (2005). Los, Cornelis.
    In: Finance.
    RePEc:wpa:wuwpfi:0502013.

    Full description at Econpapers || Download paper

  6. Regime Switches in Swedish Interest Rates. (2003). Erlandsson, Ulf.
    In: Working Papers.
    RePEc:hhs:lunewp:2002_005.

    Full description at Econpapers || Download paper

  7. GARCH-based Volatility Forecasts for Market Volatility Indices. (2002). Lombardi, Marco ; Gallo, Giampiero ; Cecconi, Massimiliano.
    In: Econometrics Working Papers Archive.
    RePEc:fir:econom:wp2002_06.

    Full description at Econpapers || Download paper

  8. Analytic Hessian Matrices and the Computation of FIGARCH Estimates. (2002). Lombardi, Marco ; Gallo, Giampiero.
    In: Econometrics Working Papers Archive.
    RePEc:fir:econom:wp2002_03.

    Full description at Econpapers || Download paper

  9. Volatility bias in the GARCH model: a simulation study. (2002). Pérez-Rodríguez, Jorge ; Gonzalez, Eduardo Acosta ; Rodriguez, Jorge Perez.
    In: Documentos de trabajo conjunto ULL-ULPGC.
    RePEc:can:series:2002-02.

    Full description at Econpapers || Download paper

  10. A proposal for a new specification for a conditionally heteroskedastic variance model: the Quadratic Moving-Average Conditional Heteroskedasticity and an application to the D. Mark-U.S. dollar Exchang. (2002). Ventosa-Santaulària, Daniel.
    In: UFAE and IAE Working Papers.
    RePEc:aub:autbar:513.02.

    Full description at Econpapers || Download paper

  11. Modeling and Forecasting Realized Volatility. (2001). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:01-01.

    Full description at Econpapers || Download paper

  12. Modeling and Forecasting Realized Volatility. (2001). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8160.

    Full description at Econpapers || Download paper

  13. Modelling the Impact of Overnight Surprises on Intra-daily Stock Returns. (2001). Hong, Yongmiao ; Gallo, Giampiero ; Lee, Tae-Why.
    In: Econometrics Working Papers Archive.
    RePEc:fir:econom:wp2001_03.

    Full description at Econpapers || Download paper

  14. The hidden dangers of historical simulation. (2001). Pritsker, Matthew.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2001-27.

    Full description at Econpapers || Download paper

  15. GOOD NEWS, BAD NEWS AND GARCH EFFECTS IN STOCK RETURN DATA. (2001). Depken, Craig.
    In: Journal of Applied Economics.
    RePEc:cem:jaecon:v:4:y:2001:n:2:p:313-327.

    Full description at Econpapers || Download paper

  16. A NON LINEAR TIME SERIES APPROACH TO MODELLING ASYMMETRY IN STOCK MARKET INDEXES. (2000). Storti, Giuseppe ; Amendola, Alessandra.
    In: Computing in Economics and Finance 2000.
    RePEc:sce:scecf0:97.

    Full description at Econpapers || Download paper

  17. VALUE AT RISK INCORPORATING DYNAMIC PORTFOLIO MANAGEMENT. (2000). Lawrence, Stephen.
    In: Computing in Economics and Finance 2000.
    RePEc:sce:scecf0:147.

    Full description at Econpapers || Download paper

  18. Empirical Pricing Kernels. (2000). Rosenberg, Joshua ; Engle, Robert.
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:99-014.

    Full description at Econpapers || Download paper

  19. Pre-announcement effects, news, and volatility: monetary policy and the stock market. (2000). Bomfim, Antulio N..
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2000-50.

    Full description at Econpapers || Download paper

  20. Properties of Estimates of Daily GARCH Parameters Based on Intra-Day Observations. (2000). Zinde-Walsh, Victoria ; Galbraith, John.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:1800.

    Full description at Econpapers || Download paper

  21. Evaluating Asset Pricing Implications of DSGE Models. (2000). Schorfheide, Frank ; Reffett, Kevin.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:1630.

    Full description at Econpapers || Download paper

  22. One-Sided Testing for ARCH Effect Using Wavelets. (2000). Lee, Jin .
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:1214.

    Full description at Econpapers || Download paper

  23. Non-Linear Markov Modelling Using Canonical Variate Analysis: Forecasting Exchange Rate Volatility. (2000). Mees, Alistair ; Pilgram, Berndt.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:1162.

    Full description at Econpapers || Download paper

  24. Higher-order dependence in the general Power ARCH process and a special case. (1999). Teräsvirta, Timo ; He, Changli.
    In: SSE/EFI Working Paper Series in Economics and Finance.
    RePEc:hhs:hastef:0315.

    Full description at Econpapers || Download paper

  25. Heat waves, meteor showers, and trading volume: an analysis of volatility spillovers in the U.S. Treasury market. (1999). Lopez, Jose ; Fleming, Michael.
    In: Staff Reports.
    RePEc:fip:fednsr:82.

    Full description at Econpapers || Download paper

  26. Heat waves, meteor showers, and trading volume: an analysis of volatility spillovers in the U.S. Treasury market. (1999). Lopez, Jose ; Fleming, Michael.
    In: Working Papers in Applied Economic Theory.
    RePEc:fip:fedfap:99-09.

    Full description at Econpapers || Download paper

  27. The Impact of Foreign Exchange Interventions: New Evidence from FIGARCH Estimations. (1999). Beine, Michel ; Benassy-Quere, Agnès ; Christine Lecourt Keywords : Exchange rates; offic, .
    In: Working Papers.
    RePEc:cii:cepidt:1999-14.

    Full description at Econpapers || Download paper

  28. Fiscal Policy and the Term Premium in Real Interest Rate Differentials. (1998). Flavin, Thomas ; Limosani, Michele G..
    In: Economics, Finance and Accounting Department Working Paper Series.
    RePEc:may:mayecw:n830498.

    Full description at Econpapers || Download paper

  29. An Adaptive Evolutionary Approach to Option Pricing via Genetic Programming. (1998). Lee, Chi-Wen Jevons ; Chidambaran, N. K. ; Trigueros, Joaguin R..
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:98-086.

    Full description at Econpapers || Download paper

  30. Testing the Volatility Term Structure using Option Hedging Criteria. (1998). Rosenberg, Joshua ; Engle, Robert.
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:98-031.

    Full description at Econpapers || Download paper

  31. Quadratic M-Estimators for ARCH-Type Processes. (1998). Renault, Eric ; Meddahi, Nour.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:98s-29.

    Full description at Econpapers || Download paper

  32. Estimation of Time-Varying Hedge Ratios for Corn and Soybeans: BGARCH and Random Coefficient Approaches. (1997). Garcia, Philip ; Bera, Anil ; Roh, Jae-Sun .
    In: Finance.
    RePEc:wpa:wuwpfi:9712007.

    Full description at Econpapers || Download paper

  33. Converting 1-Day Volatility to h-Day Volatitlity: Scaling by Root-h is Worse Than You Think. (1997). Schuermann, Til ; Inoue, Atsushi ; Diebold, Francis ; Hickman, Andrew.
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:97-34.

    Full description at Econpapers || Download paper

  34. Identifying the Common Component in International Economic Fluctuations. (1997). Prasad, Eswar ; Lumsdaine, Robin L..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:5984.

    Full description at Econpapers || Download paper

  35. What determines the exchange rate: economic factors or market sentiment?. (1997). Hopper, Gregory P..
    In: Business Review.
    RePEc:fip:fedpbr:y:1997:i:sep:p:17-29.

    Full description at Econpapers || Download paper

  36. Model error. (1997). Simons, Katerina.
    In: New England Economic Review.
    RePEc:fip:fedbne:y:1997:i:nov:p:17-28.

    Full description at Econpapers || Download paper

  37. A closed-form GARCH option pricing model. (1997). Nandi, Saikat ; Heston, Steven L..
    In: FRB Atlanta Working Paper.
    RePEc:fip:fedawp:97-9.

    Full description at Econpapers || Download paper

  38. Multifractality of Deutschemark/US Dollar Exchange Rates. (1997). Mandelbrot, Benoît ; Fisher, Adlai ; Calvet, Laurent.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1166.

    Full description at Econpapers || Download paper

  39. A Multifractal Model of Asset Returns. (1997). Mandelbrot, Benoît ; Fisher, Adlai ; Calvet, Laurent.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1164.

    Full description at Econpapers || Download paper

  40. Seasonal Adjustment and Volatility Dynamics. (1997). Siklos, Pierre ; Ghysels, Eric.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:97s-39.

    Full description at Econpapers || Download paper

  41. Calculating Value-at-Risk. (1996). Fallon, William.
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:96-49.

    Full description at Econpapers || Download paper

  42. ARMA-GARCH Models: Bayes Estimation Versus MLE, and Bayes Non-stationarity Test. (1996). Nakatsuma, Teruo ; Tsurumi, Hiroki .
    In: Departmental Working Papers.
    RePEc:rut:rutres:199619.

    Full description at Econpapers || Download paper

  43. Risk, Return and Regulation in Chinese Stock Markets. (1996). Su, Dongwei ; Fleisher, Belton.
    In: Working Papers.
    RePEc:osu:osuewp:005.

    Full description at Econpapers || Download paper

  44. Technical Trading Rule Profitability and Foreign Exchange Intervention. (1996). Lebaron, Blake.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:5505.

    Full description at Econpapers || Download paper

  45. Public Information and the Persistence of Bond Market Volatility. (1996). Lamont, Owen ; Jones, Charles M. ; Lumsdaine, Robin .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:5446.

    Full description at Econpapers || Download paper

  46. Nonlinear Nonparametric Prediction of the 90-Day T-Bill Rate. (1996). Barkoulas, John ; Baum, Christopher ; Onochie, Joseph .
    In: Boston College Working Papers in Economics.
    RePEc:boc:bocoec:320.

    Full description at Econpapers || Download paper

  47. Monetary Instability, the Predictability of Prices and the Allocation of Investment: An Empirical Investigation Using UK Panel Data. (1996). Schiantarelli, Fabio ; Caglayan, Mustafa ; Beaudry, Paul.
    In: Boston College Working Papers in Economics.
    RePEc:boc:bocoec:312.

    Full description at Econpapers || Download paper

  48. GARCH Gamma. (1995). Rosenberg, Joshua ; Engle, Robert.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:5128.

    Full description at Econpapers || Download paper

  49. Stochastic Volatility. (1995). Renault, Eric ; Harvey, Andrew ; Ghysels, Eric.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:95s-49.

    Full description at Econpapers || Download paper

  50. On Periodic Autogressive Conditional Heteroskedasticity. (1994). Ghysels, Eric ; Bollerslev, Tim.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:94s-03.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2024-12-23 23:16:03 || 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.