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Global oil market and the US stock returns

Ahmad, Maryam; Manera, Matteo; Sadeghzadeh, Mehdi - 2015

This paper provides an analysis of the link between the oil market and the U.S. stock market returns at the aggregate as well as industry levels. We empirically model oil price changes as driven by speculative demand shocks along with consumption demand and supply shocks in the oil market. We...

Persistent link: https://www.econbiz.de/10011391816

Charging the macroeconomy with an energy sector : an agent-based model

Ciola, Emanuele; Turco, Enrico; Gurgone, Andrea; … - 2022

The global energy crisis that began in fall 2021 and the following spike in energy price constitute a major challenge for the world economy which risks undermining the post-COVID-19 recovery. In this paper, we develop and validate a new macroeconomic agent-based model with an endogenous energy...

Persistent link: https://www.econbiz.de/10012990154

On the invertibility of EGARCH

Martinet, Guillaume Gaetan; McAleer, Michael - 2014

Persistent link: https://www.econbiz.de/10010410195

Asymmetric realized volatility risk

Allen, David E.; McAleer, Michael; Scharth, Marcel - 2014

Persistent link: https://www.econbiz.de/10010410196

A one line derivation of EGARCH

McAleer, Michael; Hafner, Christian M. - 2014

Persistent link: https://www.econbiz.de/10010410204

Econometric analysis of financial derivatives : an overview

Chang, Chia-Lin; McAleer, Michael - 2014

Persistent link: https://www.econbiz.de/10011296515

Does the tail wag the dog? : evidence from fund flow to VIX ETFs and ETNs

Białkowski, Je̜drzej; Dang, Huong; Wei, Xiaopeng - 2017

Persistent link: https://www.econbiz.de/10011886575

Effect of economic policy uncertainty on stock market return and volatility under heterogeneous market characteristics

Kundu, Srikanta; Paul, Amartya - 2021

Persistent link: https://www.econbiz.de/10013365985

The role of outliers and oil price shocks on volatility of metal prices

Behmiri, Niaz Bashiri; Manera, Matteo - 2015

This study investigates the price volatility of metals, using the GARCH and GJR models. First we examine the … persistence of volatility and the leverage effect across metal markets taking into account the presence of outliers, and second we … estimate the effects of oil price shocks on the price volatility of metals, allowing for the asymmetric responses. We use daily …

Persistent link: https://www.econbiz.de/10011327443

The impacts of oil price shocks on stock market volatility : evidence from the G7 countries

Bastianin, Andrea; Conti, Francesca; Manera, Matteo - 2015

We study the effects of crude oil price shocks on the stock market volatility of the G7 economies. We rely on a … oil demand innovations have on financial volatility. We show that stock market volatility does not respond to oil supply …

Persistent link: https://www.econbiz.de/10011438638

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