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The causal nexus between oil prices and equity market in the US : a regime switching model
Balcilar, Mehmet; Ozdemir, Zeynel Abidin - In: Energy economics 39 (2013), pp. 271-282
Persistent link: https://www.econbiz.de/10010234879
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Does high-frequency crude oil futures data contain useful information for predicting volatility in the US stock market? : new evidence
Wang, Jiqian; Huang, Yisu; Ma, Feng; Chevallier, Julien - In: Energy economics 91 (2020), pp. 1-13
Persistent link: https://www.econbiz.de/10012518664
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The asymmetric effects of oil price shocks on the U.S. stock market
Rahman, Sajjadur - In: Energy economics 105 (2022), pp. 1-13
Persistent link: https://www.econbiz.de/10013201580
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Long memory or regime switching in volatility? : evidence from high-frequency returns on the U.S. stock indices
Gao, Guangyuan; Ho, Kin-Yip; Shi, Yanlin - In: Pacific-Basin finance journal 61 (2020), pp. 1-20
Persistent link: https://www.econbiz.de/10012494892
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Testing financial contagion on heteroskedastic asset returns in time-varying conditional correlation
Choe, Kwang-il; Choi, Pilsun; Nam, Kiseok; Vahid, Farshid - In: Pacific-Basin finance journal 20 (2012) 2, pp. 271-291
Persistent link: https://www.econbiz.de/10009488255
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Smooth transition regime shifts and pil price dynamics
Cifarelli, Giulio - In: Energy economics 38 (2013), pp. 160-167
Persistent link: https://www.econbiz.de/10009764597
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An information diffusion-based model of oil futures price
Li, Ziran; Sun, Jiajing; Wang, Shouyang - In: Energy economics 36 (2013), pp. 518-525
Persistent link: https://www.econbiz.de/10009724648
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Forecasting spot price volatility using the short-term forward curve
Haugom, Erik; Ullrich, Carl J. - In: Energy economics 34 (2012) 6, pp. 1826-1833
Persistent link: https://www.econbiz.de/10009687854
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On the impacts of oil price fluctuations on European equity markets : volatility spillover and hedging effectiveness
Arouri, Mohamed; Jouini, Jamel; Nguyen, Duc Khuong - In: Energy economics 34 (2012) 2, pp. 611-617
Persistent link: https://www.econbiz.de/10009618672
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Volatility regimes, asymmetric basis effects and forecasting performance : an empirical investigation of the WTI crude oil futures market
Chang, Kuang-liang - In: Energy economics 34 (2012) 1, pp. 294-306
Persistent link: https://www.econbiz.de/10009618842