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Conditional correlations and volatility spillovers between crude oil and stock index returns

Roengchai Tansuchat; Chang, Chia-Lin; McAleer, Michael - 2010

Persistent link: https://www.econbiz.de/10008669344

Impacts of energy shocks on US agricultural productivity growth and commodity prices : a structural VAR analysis

Sun, Ling; McPhail, Lihong Lu - In: Energy economics 46 (2014), pp. 435-444

Persistent link: https://www.econbiz.de/10011298961

Regime switching model of US crude oil and stock market prices : 1859 to 2013

Balcilar, Mehmet; Gupta, Rangan; Miller, Stephen M. - In: Energy economics 49 (2015), pp. 317-327

Persistent link: https://www.econbiz.de/10011537104

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

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

A weekly structural VAR model of the US crude oil market

Valenti, Daniele; Bastianin, Andrea; Manera, Matteo - 2022

We present a weekly structural Vector Autoregressive (VAR) model of the US crude oil market. Exploiting weekly data we can explain short-run crude oil price dynamics, including those related with the COVID-19 pandemic and with the Russia's invasion of Ukraine. The model is set identified with a...

Persistent link: https://www.econbiz.de/10013254444