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Shock and volatility transmission in the oil, US and Gulf equity markets. (2007). Hammoudeh, Shawkat ; Malik, Farooq .
In: International Review of Economics & Finance.
RePEc:eee:reveco:v:16:y:2007:i:3:p:357-368.

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  1. Exploring the role of oil shocks on the financial stability of Gulf Cooperation Council countries. (2024). Marco, Chi Keung ; Downing, Gareth ; Elsayed, Ahmed H ; Sheng, Xin.
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  2. Volatility transmission between upstream and midstream energy sectors. (2024). Payne, James ; Malik, Farooq ; Ewing, Bradley T.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:92:y:2024:i:c:p:1191-1199.

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  3. How does oil market volatility impact mutual fund performance?. (2024). Vivian, Andrew ; Calice, Giovanni ; Alsubaiei, Bader Jawid.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:89:y:2024:i:pa:p:1601-1621.

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  4. Does oil price volatility matter for the US transportation industry?. (2024). Rothovius, Timo ; Bouri, Elie ; Dutta, Anupam ; Uddin, Gazi Salah ; Azoury, Nehme.
    In: Energy.
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  5. Assessing the impact of energy-related uncertainty on G20 stock market returns: A decomposed contemporaneous and lagged R2 connectedness approach. (2024). Zhang, Hua ; Yang, Yimin ; Pei, Xiaoyun ; Li, Hailing.
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  6. Quantile connectedness of oil price shocks with socially responsible investments. (2024). Umar, Zaghum ; Malik, Farooq.
    In: The North American Journal of Economics and Finance.
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  8. Trading around the clock: Revisit volatility spillover between crude oil and equity markets in different trading sessions. (2023). Fu, Tong ; Ma, Feng ; He, Feng ; Hao, Jing.
    In: Journal of Futures Markets.
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  9. An empirical investigation of the impact of spillover dynamics from crude to NSE Nifty Index during and prior to the COVID-19 pandemic period. (2023). Paliwal, Riya ; Shahani, Rakesh.
    In: SN Business & Economics.
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  10. Nonlinearity in the causality and systemic risk spillover between the OPEC oil and GCC equity markets: a pre- and post-financial crisis analysis. (2023). Abakah, Emmanuel ; Hammoudeh, Shawkat ; Alagidede, Imhotep Paul ; Tiwari, Aviral Kumar.
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  11. Relationship Between Oil Price Movements and Stock Returns of Oil Firms in Oil Importing Economies. (2023). Siddiqui, Areej Aftab ; Kushwah, Silky Vigg.
    In: Global Business Review.
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  12. Investigating volatility spillover of energy commodities in the context of the Chinese and European stock markets. (2023). Abedin, Mohammad Zoynul ; Dhingra, Deepika ; Ashok, Shruti ; Sharif, Taimur ; Yadav, Miklesh Prasad.
    In: Research in International Business and Finance.
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  13. The impacts of oil price volatility on financial stress: Is the COVID-19 period different?. (2023). GUPTA, RANGAN ; Ji, Qiang ; Kim, Won Joong ; Sheng, Xin.
    In: International Review of Economics & Finance.
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  14. Spillover and portfolio analysis for oil and stock market: A new insight across financial crisis, COVID-19 and Russian-Ukraine war. (2023). Tiwari, Aviral Kumar ; Waheed, Rida ; Sarwar, Suleman ; Aziz, Ghazala ; Lei, Lei.
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  15. Volatility contagion between oil and the stock markets of G7 countries plus India and China. (2023). Pradhan, Ashis ; Bandaru, Ramakrishna ; Guru, Biplab Kumar.
    In: Resources Policy.
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  16. Spillovers and hedging between US equity sectors and gold, oil, islamic stocks and implied volatilities. (2023). Yoon, Seong-Min ; Hussain, Syed Jawad ; Ur, Mobeen ; Hernandez, Jose Arreola ; Kang, Sang Hoon.
    In: Resources Policy.
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  17. The impact of unpredictable resource prices and equity volatility in advanced and emerging economies: An econometric and machine learning approach. (2023). Vasa, Laszlo ; Roy, Jewel Kumar ; Kolte, Ashutosh.
    In: Resources Policy.
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  18. Asymmetric connectedness between oil price, coal and renewable energy consumption in China: Evidence from Fourier NARDL approach. (2023). Maaloul, Mohamed Hedi ; Tissaoui, Kais ; Zaghdoudi, Taha ; Kammoun, Niazi ; Bahou, Younes.
    In: Energy.
    RePEc:eee:energy:v:285:y:2023:i:c:s0360544223028104.

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  19. 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.
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  20. Natural gas and the utility sector nexus in the U.S.: Quantile connectedness and portfolio implications. (2023). Do, Hung ; Thanh, Thao Thac ; Pham, Son Duy.
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  21. The nexus between oil and airline stock returns: Does time frequency matter?. (2023). Brooks, Robert ; Do, Hung Xuan ; Pham, Son D ; Asadi, Mehrad.
    In: Energy Economics.
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  22. Quantile spillovers and connectedness analysis between oil and African stock markets. (2023). Kang, Sang Hoon ; Vo, Xuan Vinh ; Mensi, Walid.
    In: Economic Analysis and Policy.
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  23. Revisiting the Causality between Oil Prices and Stock Markets in Selected MENA Countries: A Bootstrap Rolling-window Approach. (2023). ben Hamouda, Abderrazek.
    In: International Journal of Economics and Financial Issues.
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  24. Oil price uncertainty and the risk?return relation in stock markets: Evidence from oil?importing and oil?exporting countries. (2022). Wen, Fenghua ; Zhang, Guoqing ; Zhou, Fangzhao ; Chen, Jiaqi.
    In: International Journal of Finance & Economics.
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  25. Assessing volatility transmission between Brent and stocks in the major global oil producers and consumers – the multiscale robust quantile regression. (2022). Trbovi, Eljana ; Kovaevi, Jelena ; Mani, Slavica ; Ivkov, Dejan.
    In: Portuguese Economic Journal.
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  26. Asymmetric volatility transmission in Japanese stock market in the presence of structural breaks. (2022). Dritsakis, Nikolaos ; Kartsonakis-Mademlis, Dimitrios.
    In: The Japanese Economic Review.
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  27. Examining the spillover effects of volatile oil prices on Iran’s stock market using wavelet-based multivariate GARCH model. (2022). Sepehri, Elmira ; Yazdani, Sanaz ; Mamipour, Siab.
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  28. Assessing Permanent and Transitory Volatility Spillover Effect from Oil to Stocks in Baltic and Visegrad Countries. (2022). Momcilovic, Mirela ; Duraskovic, Jasmina ; Gajic-Glamoclija, Marina ; Ivkov, Dejan.
    In: Journal of Economics / Ekonomicky casopis.
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  29. Changes in co-movement and risk transmission between South Asian stock markets amidst the development of regional co-operation. (2022). Power, David M ; Tantisantiwong, Nongnuch ; Khan, Muhammad Niaz.
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  30. On the higher-order moment interdependence of stock and commodity markets: A wavelet coherence analysis. (2022). Ahmed, Walid.
    In: The Quarterly Review of Economics and Finance.
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  31. Volatility spillovers between Turkish energy stocks and fossil fuel energy commodities based on time and frequency domain approaches. (2022). Taspinar, Nigar ; Coskun, Merve.
    In: Resources Policy.
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  32. Do exchange rate and inflation rate matter in the cyclicality of oil price and stock returns?. (2022). Philips, Abiodun S ; Akinseye, Ademola B ; Oduyemi, Gabriel O.
    In: Resources Policy.
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  33. Stock return predictability in China: Power of oil price trend. (2022). Zhang, Qunzi ; Cao, Zhen.
    In: Finance Research Letters.
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  34. Financial stress and crude oil implied volatility: New evidence from continuous wavelet transformation framework. (2022). Basu, Sankarshan ; Dutta, Anupam ; Maitra, Debasish ; Das, Debojyoti.
    In: Energy Economics.
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  35. Does the asymmetric dependence volatility affect risk spillovers between the crude oil market and BRICS stock markets?. (2022). Ye, Wuyi ; Jiang, Kunliang.
    In: Economic Modelling.
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  36. Asymmetric volatility spillovers between world oil prices and stock markets of the G7 countries in the presence of structural breaks. (2021). Dritsakis, Nikolaos ; Mademlis, Dimitrios Kartsonakis ; Kartsonakismademlis, Dimitrios.
    In: International Journal of Finance & Economics.
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  37. Is there a systemic risk between Sharia, Sukuk, and GCC stock markets? A ?CoVaR risk metric?based copula approach. (2021). Yoon, Seongmin ; Mensi, Walid ; Hussain, Syed Jawad ; al Yahyaee, Khamis Hamed ; Alyahyaee, Khamis Hamed.
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  38. Assessing the multiscale “meteor shower” effect from oil to the central and eastern European stock indices. (2021). Živkov, Dejan ; Peanac, Marko ; Balaban, Suzana.
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  39. Risk and Return Transmissions From Crude Oil to Latin American Stock Markets During the Crisis: Portfolio Implications. (2021). Adeel, Ifraz ; Naveed, Muhammad ; Ali, Shoaib ; Yousaf, Imran.
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  40. The Impacts of Oil Price Volatility on Financial Stress: Is the COVID-19 Period Different?. (2021). GUPTA, RANGAN ; Kim, Won Joong ; Sheng, Xin.
    In: Working Papers.
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  41. The Empirical Linkage between Oil Prices and the Stock Returns of Oil Companies. (2021). Albrecht, Peter ; Irek, Martin ; Strejek, Petr ; Pavlata, Josef.
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  42. Oil prices, stock market returns, and volatility spillovers: evidence from Saudi Arabia. (2021). Dibooglu, Selahattin ; Çevik, Emrah ; Cevik, Emrah Ismail ; Al-Eisa, Eisa Abdulrahman ; Abdallah, Atif Awad.
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  43. Spillovers entre los principales Mercados Accionarios de Latinoamérica, Estados Unidos y el Mercado Petrolero. (2021). Duran, Nancy Muller ; Benavides, Domingo Rodriguez ; Climent, Jose Antonio.
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  44. Spillovers entre los principales Mercados Accionarios de Latinoamérica, Estados Unidos y el Mercado Petrolero. (2021). Climent, Jose Antonio ; Duran, Nancy Muller ; Benavides, Domingo Rodriguez.
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  45. La modélisation de la dynamique des volatilités et des corrélations entre les prix des matières premières et les rendements boursiers. (2021). Mestiri, Sami ; Abdelghani, Sabrine.
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  46. Twenty-nine years of the Journal of International Review of Economics and Finance: A scientometric overview (1992–2020). (2021). Atayah, Osama F ; Alshater, Muneer M ; Hassan, Kabir M.
    In: International Review of Economics & Finance.
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  47. Pandemic-related financial market volatility spillovers: Evidence from the Chinese COVID-19 epicentre. (2021). Oxley, Les ; Corbet, Shaen ; Xu, Danyang ; Hu, Yang ; Hou, Yang.
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  48. Geopolitical risk and volatility spillovers in oil and stock markets. (2021). Smales, Lee.
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  49. Volatility linkages between stock and commodity markets revisited: Industry perspective and portfolio implications. (2021). Wang, Yudong ; Wen, Danyan.
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  50. Do energy prices interact with global Islamic stocks? Fresh insights from quantile ARDL approach. (2021). Aman, Ameenullah ; Zaighum, Isma ; Suleman, Muhammad Tahir ; Sharif, Arshian.
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  51. Volatility spillovers between strategic commodity futures and stock markets and portfolio implications: Evidence from developed and emerging economies. (2021). Vo, Xuan Vinh ; Kang, Sang Hoon ; Shafiullah, Muhammad ; Mensi, Walid.
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  52. Spillovers between natural gas, gasoline, oil, and stock markets: Evidence from MENA countries. (2021). Vo, Xuan Vinh ; Hammoudeh, Shawkat ; Ur, Mobeen ; Mensi, Walid.
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  53. Volatility spillovers between oil and equity markets and portfolio risk implications in the US and vulnerable EU countries. (2021). Kang, Sang Hoon ; Vo, Xuan Vinh ; Hammoudeh, Shawkat ; Mensi, Walid.
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  54. Economic activity, and financial and commodity markets’ shocks: An analysis of implied volatility indexes. (2021). Ndubuisi, Gideon ; Ozor, Jude ; Urom, Christian.
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  56. Volatility spillovers and hedging effectiveness between oil and stock markets: Evidence from a wavelet-based and structural breaks analysis. (2021). karamti, chiraz ; Belhassine, Olfa.
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  57. The dynamic impact of oil price shocks on the stock market and the USD/RMB exchange rate: Evidence from implied volatility indices. (2021). Tian, Meiyu ; Wen, Fenghua ; Li, Wanyang.
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  58. Volatility Spillovers between Oil Prices and Stock Returns in Developing Countries. (2021). Massadikov, Khairulla.
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  60. Information linkages among National, NSW, VIC, and QLD real estate markets in Australia. (2021). Croucher, John S ; Wang, Jingjing.
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  62. Volatility spillover and hedging effectiveness among crude oil and Islamic markets: evidence from the Gulf region. (2020). Walid, Haykel Hamdi.
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  63. Risk Transmissions between Major Foreign Currencies: An Empirical Analysis from the U.S. Perspective. (2020). Baek, Chung.
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  64. Return and Volatility Transmission between World-Leading and Latin American Stock Markets: Portfolio Implications. (2020). Yousaf, Imran ; Wong, Wing-Keung ; Ali, Shoaib.
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  65. Dynamic Spillovers between Gulf Cooperation Council’s Stocks, VIX, Oil and Gold Volatility Indices. (2020). Chevallier, Julien ; Alqahtani, Abdullah.
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  66. An Empirical Analysis of the Volatility Spillover Effect between World-Leading and the Asian Stock Markets: Implications for Portfolio Management. (2020). Yousaf, Imran ; Wong, Wing-Keung ; Ali, Shoaib.
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  67. The Impact of Implied Volatility Fluctuations on Vertical Spread Option Strategies: The Case of WTI Crude Oil Market. (2020). Iwaszczuk, Natalia ; Amasz, Bartosz.
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  68. Inter- and intra-regional stock market relations for the GCC bloc. (2020). Herbst, Patrick ; Ziadat, Salem Adel ; McMillan, David G.
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  69. Volatility spillovers and hedging effectiveness between the oil market and Eurozone sectors: A tale of two crises. (2020). Belhassine, Olfa.
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  70. Who affects who? Oil price against the stock return of oil-related companies: Evidence from the U.S. and China. (2020). Lv, Xin ; Xin Lv, ; Yu, Chang ; Lien, Donald.
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  73. Dynamic connectedness and portfolio strategies: Energy and metal markets. (2020). Takin, Dilvin ; Cagli, Efe Aglar ; Mandaci, Pinar Evrim.
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  74. Analyzing volatility spillovers between oil market and Asian stock markets. (2020). Tiwari, Aviral ; Tingqiu, Cao ; Sarwar, Suleman.
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  75. The asymmetric effects of oil price on sectoral Islamic stocks: New evidence from quantile-on-quantile regression approach. (2020). Sharif, Arshian ; Chang, Bisharat Hussain ; Rehman, Syed Abdul ; Salman, Asma ; Suki, Norazah Mohd ; Aman, Ameenullah.
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  76. The impact of oil price shocks on Tehran Stock Exchange returns: Application of the Markov switching vector autoregressive models. (2020). Rafei, Meysam ; Shahrestani, Parnia.
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  77. Regime dependent effects and cyclical volatility spillover between crude oil price movements and stock returns. (2020). Onwuka, Kevin O ; Urom, Christian ; Yuni, Denis N ; Uma, Kalu E.
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  78. Crude oil price volatility and equity return predictability: A comparative out-of-sample study. (2020). Nonejad, Nima.
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  79. The economic importance of rare earth elements volatility forecasts. (2020). Schweizer, Denis ; Proelss, Juliane ; Seiler, Volker.
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  80. Correlation and spillover effects between the US and international banking sectors: New evidence and implications for risk management. (2020). Tsuji, Chikashi.
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  81. Dependences and volatility spillovers between the oil and stock markets: New evidence from the copula and VAR-BEKK-GARCH models. (2020). Liu, Jia ; He, Kaijian ; Stafylas, Dimitrios ; Zha, Rui ; Yu, Lean.
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  82. Does high-frequency crude oil futures data contain useful information for predicting volatility in the US stock market? New evidence. (2020). Chevallier, Julien ; Wang, Jiqian ; Ma, Feng ; Huang, Yisu.
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  83. Oil and asset classes implied volatilities: Investment strategies and hedging effectiveness. (2020). Gabauer, David ; Filis, George ; Antonakakis, Nikolaos ; de Gracia, Fernando Perez ; Cunado, Juncal.
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  84. Period specific volatility spillover based connectedness between oil and other commodity prices and their portfolio implications. (2020). Dash, Saumya Ranjan ; Guhathakurta, Kousik ; Maitra, Debasish.
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  85. Does the Choice of the Multivariate GARCH Model on Volatility Spillovers Matter? Evidence from Oil Prices and Stock Markets in G7 Countries. (2020). Dritsakis, Nikolaos ; Kartsonakis-Mademlis, Dimitrios.
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  86. Price Discovery in Crude Oil Markets: Intraday Volatility Interactions between Crude Oil Futures and Energy Exchange Traded Funds. (2020). Ulusoy, Veysel ; Ozdurak, Caner.
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  87. Long run Association of Stock Prices and Crude Oil Prices: Evidence from Saudi Arabia. (2020). , Abdulrahman ; Rahman, Abdul.
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  88. The Relationship Between the Returns and Volatility of Stock and Oil Markets in the Last Two Decades: Evidence from Saudi Arabia. (2020). Alsharif, Mohammad.
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  89. The Impact of Oil and Gold Prices Shock on Tehran Stock Exchange: A Copula Approach. (2020). Payandeh, Amir ; Ofoghi, Reza ; Qazvini, Marjan.
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  90. Evaluating interdependencies in African markets A VECM approach. (2019). Vergos, Konstantinos ; Wanger, Benjamin.
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  91. Oil prices, US exchange rates, and stock market: evidence from Jordan as a net oil importer. (2019). Bouri, Abdelfatteh ; Ghenimi, Ameni ; Hammami, Algia.
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  92. Determinants of international price volatility transmissions: the role of self-sufficiency rates in wheat-importing countries. (2019). Tanaka, Tetsuji ; Guo, Jin.
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  93. Predicting Volatility and Dynamic Relation Between Stock Market, Exchange Rate and Select Commodities. (2019). Roy, Preeti ; Siddiqui, Saif.
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  94. Volatility transmission between oil prices and banks stock prices as a new source of instability: Lessons from the US Experience. (2019). Ehouman, Yao Axel.
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  95. The Impact of Macroeconomic News on Chinese Futures. (2019). Ruan, Chuan-Yang ; Yang, Jianhui ; Liu, Ruobing.
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  96. Determinants of the Long-Term Correlation between Crude Oil and Stock Markets. (2019). Yang, Lu ; Hamori, Shigeyuki ; Ho, Kung-Cheng.
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  97. The roles of inter-fuel substitution and inter-market contagion in driving energy prices: evidences from China’s coal market. (2019). Long, Houyin ; Xie, Chunping ; Li, Jianglong.
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  98. A sectoral analysis of asymmetric nexus between oil price and stock returns. (2019). Salisu, Afees ; Raheem, Ibrahim ; Ndako, Umar.
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  99. Energy shocks pricing model: A non-linear US sectoral based analysis. (2019). Ur, Mobeen.
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  100. Correlations and volatility spillovers between oil, natural gas, and stock prices in India. (2019). Tiwari, Aviral ; Pradhan, Ashis ; Kumar, Satish ; Kang, Sang Hoon.
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  101. Dynamic linkages between strategic commodities and stock market in Turkey: Evidence from SVAR-DCC-GARCH model. (2019). Civcir, Ä°rfan ; Akkoc, Ugur.
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  102. Volatility spillovers and hedging: Evidence from Asian oil-importing countries. (2019). Khalfaoui, Rabeh ; Sarwar, Suleman ; Dastgerdi, Hamidreza Ghorbani ; Waheed, Rida.
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  103. Linkages between crude oil and emerging Asian stock markets: New evidence from the Chinese stock market crash. (2019). Hassan, Arshad ; Yousaf, Imran.
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  104. Transmission of shocks and contagion from U.S. to MENA equity markets: The role of oil and gas markets. (2019). Goutte, Stéphane ; Jamali, Ibrahim ; Guesmi, Khaled ; Abid, Ilyes.
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  105. The roles of inter-fuel substitution and inter-market contagion in driving energy prices: Evidences from China’s coal market. (2019). Li, Jianglong ; Long, Houyin ; Xie, Chunping.
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  106. Time-varying volatility spillover between Chinese fuel oil and stock index futures markets based on a DCC-GARCH model with a semi-nonparametric approach. (2019). Wen, Fenghua ; Li, Steven ; Hou, Yang.
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  107. Spillovers between oil and stock returns in the US energy sector: Does idiosyncratic information matter?. (2019). Zhang, Dayong ; Ma, Yan-Ran ; Pan, Jiaofeng ; Ji, Qiang.
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  108. Spillovers between the oil sector and the S&P500: The impact of information flow about crude oil. (2019). Aromi, J. Daniel ; Clements, Adam.
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  109. Volatility spillovers between crude oil and Chinese sectoral equity markets: Evidence from a frequency dynamics perspective. (2019). Wang, Yudong.
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  110. Relationship between the oil price volatility and sectoral stock markets in oil-exporting economies: Evidence from wavelet nonlinear denoised based quantile and Granger-causality analysis. (2019). Tiwari, Aviral ; Hamdi, Besma ; Alqahtani, Faisal ; Aloui, Mouna.
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  111. Risk spillovers between oil and stock markets: A VAR for VaR analysis. (2019). Wang, Yudong ; Wen, Danyan ; Ma, Chaoqun.
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  112. Impacts of oil implied volatility shocks on stock implied volatility in China: Empirical evidence from a quantile regression approach. (2019). Hu, Chunyan ; Xiao, Jihong ; Wen, Fenghua ; Ouyang, Guangda.
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  113. Impact of oil price change on airlines stock price and volatility: Evidence from China and South Korea. (2019). Yoon, Seong-Min ; Yun, Xiao.
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  114. The importance of oil assets for portfolio optimization: The analysis of firm level stocks. (2019). Tiwari, Aviral ; Shahbaz, Muhammad ; Anwar, Awais ; Sarwar, Suleman.
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  115. A novel market efficiency index for energy futures and their term structure risk premiums. (2019). Roberts, Helen ; Premachandra, I M ; Kuruppuarachchi, Duminda.
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  116. Oil price and Gulf Corporation Council stock indices: New evidence from time-varying copula models. (2019). Vosgha, Hamed ; Fenech, Jean-Pierre.
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  117. Volatility transmission between oil prices and banks stock prices as a new source of instability: Lessons from the US Experience. (2019). Ehouman, Yao Axel.
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  119. Shock transmission and volatility spillover in stock and commodity markets: evidence from advanced and emerging markets. (2018). coskun, yener ; Yelkenci, Tezer ; Cokun, Yener ; Vardar, Gulin.
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  120. Volatility Transmission between Oil and LME Futures. (2018). Park, Jaehwan.
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  121. Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence. (2018). Filis, George ; Degiannakis, Stavros ; Arora, Vipin.
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  122. The Predictive Power of Oil and Commodity Prices for Equity Markets. (2018). Dagher, Leila ; Badra, Nasser ; Jamali, Ibrahim.
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  123. Determinants of equity return correlations: a case study of the Amman Stock Exchange. (2018). Tantisantiwong, Nongnuch ; Power, David M ; Alomari, Mohammad.
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  124. Interaction between Industrial Policy and Stock Price Volatility: Evidence from China’s Power Market Reform. (2018). Zhang, Zhicheng ; Fan, YE ; Yin, Haitao ; Zhao, Xiaoli.
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  125. Risk contribution of crude oil to industry stock returns. (2018). Yu, Honghai ; Yan, Panpan ; Fang, Libing ; Du, Donglei.
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  126. Volatility spillover in seafood markets. (2018). Jonsson, Erlendur ; Dahl, Roy Endre .
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  127. Return and volatility linkages between CO2 emission and clean energy stock prices. (2018). Dutta, Anupam ; Noor, Md Hasib ; Bouri, Elie.
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  128. Risk transmission mechanism between energy markets: A VAR for VaR approach. (2018). Shi, Xunpeng ; Padinjare, Hari Malamakkavu ; Shen, Yifan.
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  129. Asymmetric volatility spillovers between crude oil and international financial markets. (2018). Wang, Xunxiao ; Wu, Chongfeng.
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  130. Oil volatility, oil and gas firms and portfolio diversification. (2018). Pérez de Gracia, Fernando ; Gabauer, David ; Filis, George ; Cuñado, Juncal ; Antonakakis, Nikolaos ; Cunado, Juncal.
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  131. Extreme dependence and risk spillovers between oil and Islamic stock markets. (2018). Shahzad, Syed Jawad Hussain ; Hussain, Syed Jawad ; Al-Yahyaee, Khamis H ; Ur, Mobeen ; Hammoudeh, Shawkat ; Mensi, Walid.
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  132. Return transmission and asymmetric volatility spillovers between oil futures and oil equities: New DCC-MEGARCH analyses. (2018). Tsuji, Chikashi.
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  133. The macroeconomic determinants of commodity futures volatility: Evidence from Chinese and Indian markets. (2018). Gupta, Rakesh ; Singh, Tarlok ; Li, Bin ; Mo, DI.
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  134. New DCC analyses of return transmission, volatility spillovers, and optimal hedging among oil futures and oil equities in oil-producing countries. (2018). Tsuji, Chikashi.
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  135. Real estates information and volatility links with stock, bond and money markets. (2018). Mi, Lin ; Hodgson, Allan.
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  136. Volatility Spillover among Equity Indices and Crude Oil Prices: Evidence from Islamic Markets امتداد التقلب بين مؤشرات الأسهم وأسعار النفط الخام: شواهد . (2018). Arrak, Islem ; Mansour, Walid ; Majdoub, Jihed.
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  137. Volatility Spillover among Equity Indices and Crude Oil Prices: Evidence from Islamic Markets امتداد التقلب بين مؤشرات الأسهم وأسعار النفط الخام: شواهد . (2018). Arrak, Islem ; Mansour, Walid ; Majdoub, Jihed.
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  140. RETURN AND VOLATILITY SPILLOVER BETWEEN SECTORAL STOCK AND OIL PRICE: EVIDENCE FROM PAKISTAN STOCK EXCHANGE. (2017). Malik, Muhammad Irfan ; Rashid, Abdul.
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  141. The impact of oil price volatility on net-oil exporter and importer countries’ stock markets. (2017). Yelkenci, Tezer ; Tun, Goke ; Aydoan, Berna.
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  142. SHOCK AND VOLATILITY SPILLOVERS BETWEEN OIL AND SOME BALKAN STOCK MARKETS. (2017). Kurshid, Muzammil ; Uludag, Berna Kirkulak .
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  143. Causes and consequences of energy price shocks on petroleum-based stock market using the spillover asymmetric multiplicative error model. (2017). Khalifa, Ahmed ; Bertuccelli, Pietro ; Alsarhan, Abdulwahab A.
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  144. Metal prices and stock market performance: Is there an empirical link?. (2017). Irandoust, Manuchehr.
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  145. Asymmetric tail dependence between oil price shocks and sectors of Saudi Arabia System. (2017). Trabelsi, Nader.
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  146. Predictability and underreaction in industry-level returns: Evidence from commodity markets. (2017). Valcarcel, Victor (Vic) ; Wohar, Mark E ; Vivian, Andrew J.
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  147. Oil shocks and stock markets: Dynamic connectedness under the prism of recent geopolitical and economic unrest. (2017). Filis, George ; Antonakakis, Nikolaos ; Chatziantoniou, Ioannis.
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  148. Volatility transmission from commodity markets to sovereign CDS spreads in emerging and frontier countries. (2017). Bouri, Elie ; Pavlova, Ivelina ; de Boyrie, Maria E.
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  149. Impact of oil price uncertainty on Middle East and African stock markets. (2017). Dutta, Anupam ; Rothovius, Timo ; Nikkinen, Jussi .
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  150. A wavelet analysis of mean and volatility spillovers between oil and BRICS stock markets. (2017). Raza, Syed ; Boubaker, Heni.
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  151. Financial contagion and volatility spillover: An exploration into Indian commodity derivative market. (2017). Sinha Roy, Saikat ; Sinharoy, Saikat.
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  152. Geopolitical Tensions, OPEC News, and Oil Price: A Granger Causality Analysis.. (2017). Medel, Carlos A..
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  153. Oil Subsidies and Renewable Energy in Saudi Arabia: A General Equilibrium Approach. (2017). Manzano, Baltasar ; Hunt, Lester ; Blazquez, Jorge.
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  154. On the volatility transmission between oil and stock markets: a comparison of emerging importers and exporters. (2016). Demirer, Riza ; Bouri, Elie.
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  155. Crude oil and world stock markets: volatility spillovers, dynamic correlations, and hedging. (2016). Wang, Yudong ; Liu, LI.
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  156. Oil, Gold, US dollar and Stock market interdependencies: A global analytical insight. (2016). Ben Rejeb, Aymen ; Arfaoui, Mongi .
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  157. Modeling Time-Varying Correlations in Volatility Between BRICS and Commodity Markets. (2016). Yoon, Seong-Min ; McIver, Ron ; Kang, Sanghoon .
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  158. Oil market modelling: A comparative analysis of fundamental and latent factor approaches. (2016). Kearney, Fearghal ; Dowling, Michael ; Cummins, Mark.
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  21. Kohl, W. OPEC behavior, 1998–2001. 2002 The Quarterly Review of Economics and Finance. 42 209-233
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  22. Kroner, K.F. ; Ng, V.K. Modeling asymmetric comovements of asset returns. 1998 The Review of Financial Studies. 11 817-844

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  25. Longin, F. ; Solnik, B. Is correlations in international equity returns constant: 1960–1990?. 1995 Journal of International Money and Finance. 14 3-26
    Paper not yet in RePEc: Add citation now
  26. Mills, T.C. The econometric modelling of financial time series. 1999 Cambridge University Press: Cambridge, UK
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  27. Pagan, A. Econometric issues in the analysis of regressions with generated regressors. 1984 International Economic Review. 25 221-247

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    Paper not yet in RePEc: Add citation now

Cocites

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  1. Predicting intraday jumps in stock prices using liquidity measures and technical indicators. (2019). Azencott, Robert ; Zhu, Hongliang ; Kong, AO.
    In: Papers.
    RePEc:arx:papers:1912.07165.

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  2. Market risk of BRIC Eurobonds in the financial crisis period. (2015). VORTELINOS, DIMITRIOS ; Lakshmi, Geeta .
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:39:y:2015:i:c:p:295-310.

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  3. A comparison of implied and realized volatility in the Nordic power forward market. (2015). Molnár, Peter ; Haugom, Erik ; Westgaard, Sjur ; Molnar, Peter ; Birkelund, Ole Henrik ; Opdal, Martin .
    In: Energy Economics.
    RePEc:eee:eneeco:v:48:y:2015:i:c:p:288-294.

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  4. Realized wavelet-based estimation of integrated variance and jumps in the presence of noise. (2013). Vacha, Lukas ; Baruník, Jozef.
    In: Papers.
    RePEc:arx:papers:1202.1854.

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  5. Parametric Inference and Dynamic State Recovery from Option Panels. (2012). Andersen, Torben ; Fusari, Nicola ; Todorov, Viktor.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:18046.

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  6. A nonparametric GARCH model of crude oil price return volatility. (2012). Suardi, Sandy ; Hou, Aijun .
    In: Energy Economics.
    RePEc:eee:eneeco:v:34:y:2012:i:2:p:618-626.

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  7. A data envelopment analysis-based framework for the relative performance evaluation of competing crude oil prices volatility forecasting models. (2012). Xu, Bing ; Ouenniche, Jamal.
    In: Energy Economics.
    RePEc:eee:eneeco:v:34:y:2012:i:2:p:576-583.

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  8. Liquidity and Market Microstructure Noise: Evidence from the Pekao Data. (2010). Doman, Magorzata .
    In: Dynamic Econometric Models.
    RePEc:cpn:umkdem:v:10:y:2010:p:5-14.

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

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  10. Forecasting Irregularly Spaced UHF Financial Data: Realized Volatility vs UHF-GARCH Models. (2008). Racicot, François-Éric ; Coen, Alain ; Theoret, Raymond.
    In: International Advances in Economic Research.
    RePEc:kap:iaecre:v:14:y:2008:i:1:p:112-124:10.1007/s11294-008-9134-2.

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

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  12. Volatility Forecasting Using Explanatory Variables and Focused Selection Criteria. (2007). Gallo, Giampiero ; Brownlees, Christian.
    In: Econometrics Working Papers Archive.
    RePEc:fir:econom:wp2007_04.

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  13. Modeling Financial Return Dynamics by Decomposition. (2007). Gospodinov, Nikolay ; Anatolyev, Stanislav.
    In: Working Papers.
    RePEc:cfr:cefirw:w0095.

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  14. Realized jumps on financial markets and predicting credit spreads. (2006). Zhou, Hao ; Tauchen, George.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2006-35.

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  15. Order Submission: The Choice between Limit and Market Orders. (2005). Lo, Ingrid ; Sapp, Stephen G..
    In: Staff Working Papers.
    RePEc:bca:bocawp:05-42.

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  16. Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies. (2004). Valkanov, Rossen ; Santa-Clara, Pedro ; Ghysels, Eric.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10914.

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  17. Asymmetry, Loss Aversion and Forecasting. (2004). Bond, Shaun A. ; Satchell, Stephen E..
    In: Econometric Society 2004 Australasian Meetings.
    RePEc:ecm:ausm04:160.

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  18. The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests. (2004). Ghysels, Eric ; Andreou, Elena.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2004s-25.

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  19. Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies. (2004). Valkanov, Rossen ; Santa-Clara, Pedro ; Ghysels, Eric.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2004s-19.

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  20. El índice VIX para la predicción de la volatilidad: un estudio internacional.. (2004). Rubio, Javier Giner ; Marrero, Sandra Morini.
    In: Documentos de trabajo conjunto ULL-ULPGC.
    RePEc:can:series:2004-10.

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  21. Risk and Volatility: Econometric Models and Financial Practice. (2004). Engle, Robert.
    In: American Economic Review.
    RePEc:aea:aecrev:v:94:y:2004:i:3:p:405-420.

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  22. Consistent Preordering with an Estimated Criterion Function, with an Application to the Evaluation and Comparison of Volatility Models. (2003). .
    In: Working Papers.
    RePEc:bro:econwp:2003-01.

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  23. Parametric and Nonparametric Volatility Measurement. (2002). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben.
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:02-27.

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  24. Correcting the Errors : A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities. (2002). Meddahi, Nour ; Bollerslev, Tim ; Andersen, Torben.
    In: Cahiers de recherche.
    RePEc:mtl:montde:2002-21.

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  25. ARMA Representation of Integrated and Realized Variances. (2002). Meddahi, Nour.
    In: Cahiers de recherche.
    RePEc:mtl:montde:2002-20.

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  26. Predicting exchange rate volatility: genetic programming versus GARCH and RiskMetrics. (2002). Neely, Christopher ; Weller, Paul A..
    In: Review.
    RePEc:fip:fedlrv:y:2002:i:may:p:43-54:n:v.84no.3.

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  27. ARMA Representation of Integrated and Realized Variances. (2002). Meddahi, Nour.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2002s-93.

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  28. ARMA Representation of Two-Factor Models. (2002). Meddahi, Nour.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2002s-92.

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  29. Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities. (2002). Meddahi, Nour ; Bollerslev, Tim ; Andersen, Torben.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2002s-91.

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  30. Analytic Evaluation of Volatility Forecasts. (2002). Meddahi, Nour ; Bollerslev, Tim ; Andersen, Torben.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2002s-90.

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  31. Testing Normality: A GMM Approach. (2002). Meddahi, Nour ; Bontemps, Christian.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2002s-63.

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  32. 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.

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  33. Detecting Multiple Breaks in Financial Market Volatility Dynamics. (2001). Ghysels, Eric ; Andreou, Elena.
    In: University of Cyprus Working Papers in Economics.
    RePEc:ucy:cypeua:0202.

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  34. 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

  35. A Theoretical Comparison Between Integrated and Realized Volatilies. (2001). Meddahi, Nour.
    In: Cahiers de recherche.
    RePEc:mtl:montde:2001-26.

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  36. Predicting exchange rate volatility: genetic programming vs. GARCH and RiskMetrics. (2001). Neely, Christopher ; Weller, Paul A..
    In: Working Papers.
    RePEc:fip:fedlwp:2001-009.

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  37. Modelling Scale-Consistent VaR with the Truncated Lévy Flight. (2001). Wolff, Christian ; Lehnert, Thorsten.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:2711.

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  38. A Theoretical Comparison Between Integrated and Realized Volatilities. (2001). Meddahi, Nour.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2001s-71.

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  39. Detecting Mutiple Breaks in Financial Market Volatility Dynamics. (2001). Ghysels, Eric ; Andreou, Elena.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2001s-65.

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  40. Nonlinear Features of Realized FX Volatility. (2001). McCurdy, Tom ; Maheu, John.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2001s-42.

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  41. Risque de modèle de volatilité. (2001). Renault, Eric ; Alami, Ali .
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2001s-06.

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  42. A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH(1,1)?. (2001). Lunde, Asger ; Hansen, Peter.
    In: Working Papers.
    RePEc:bro:econwp:2001-04.

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  43. Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian. (2000). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:7488.

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  44. When Should Time be Continuous? Volatility Modeling and Estimation of High-Frequency Data. (2000). Fang, Yue.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:0843.

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  45. Rolling-Sample Volatility Estimators: Some New Theoretical, Simulation and Empirical Results. (2000). Ghysels, Eric ; Andreou, Elena.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2000s-19.

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  46. Exchange Rate Returns Standardized by Realized Volatility Are (Nearly) Gaussian. (1999). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:00-29.

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  47. Range-Based Estimation of Stochastic Volatility Models or Exchange Rate Dynamics are More Interesting Than You Think. (1999). Diebold, Francis ; Brandt, Michael ; Alizadeh, Sassan.
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:00-28.

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  48. (Understanding, Optimizing, Using and Forecasting) Realized Volatility and Correlation. (1999). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:99-061.

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  49. Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian. (1999). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:99-060.

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  50. The Distribution of Exchange Rate Volatility. (1999). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:99-059.

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