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The Nexus between Oil and Airline Stock Returns : Does Time Frequency Matter?

Asadi, Mehrad; Pham, Son Duy; Nguyen, Thao T.T; Do, … - 2022

This paper investigates the relationship between oil and airline stock returns under different time frequencies. First, we propose an Autoregressive moving average model with mixed frequency exogenous variable to analyse the different impacts of oil on airline stock returns on daily, weekly, and...

Persistent link: https://www.econbiz.de/10014080026

The nexus between oil and airline stock returns : does time frequency matter?

Asadi, Mehrad; Pham, Son Duy; Nguyen, Thao Thac Thanh; … - In: Energy economics 117 (2023), pp. 1-16

Persistent link: https://www.econbiz.de/10014437120

The effects of sovereign rating drifts on financial return distributions : evidence from the European Union

Do, Hung Xuan; Brooks, Robert; Sirimon Treepongkaruna; … - In: International review of financial analysis 34 (2014), pp. 5-20

Persistent link: https://www.econbiz.de/10010520405

How does trading volume affect financial return distributions?

Do, Hung Xuan; Brooks, Robert; Sirimon Treepongkaruna; … - In: International review of financial analysis 35 (2014), pp. 190-206

Persistent link: https://www.econbiz.de/10010530243

Realized spill-over effects between stock and foreign exchange market : evidence from regional analysis

Do, Hung Xuan; Brooks, Robert; Sirimon Treepongkaruna - In: Global finance journal 28 (2015), pp. 24-37

Persistent link: https://www.econbiz.de/10011478085

Exploiting the heteroskedasticity in measurement error to improve volatility predictions in oil and biofuel feedstock markets

Bissoondoyal-Bheenick, Emawtee; Brooks, Robert; Do, … - In: Energy economics 86 (2020), pp. 1-18

Persistent link: https://www.econbiz.de/10012511747

Does oil impact gold during COVID-19 and three other recent crises?

Tanin, Tauhidul Islam; Sarker, Ashutosh; Brooks, Robert; … - In: Energy economics 108 (2022), pp. 1-14

Persistent link: https://www.econbiz.de/10013203269

Stock and currency market linkages : new evidence from realized spillovers in higher moments

Do, Hung Xuan; Brooks, Robert; Sirimon Treepongkaruna; … - In: International review of economics & finance : IREF 42 (2016), pp. 167-185

Persistent link: https://www.econbiz.de/10011625106

Volatility spillover between the US, Chinese and Australian stock markets

Bissoondoyal-Bheenick, Emawtee; Brooks, Robert; Chi, Wei; … - In: Australian journal of management 43 (2018) 2, pp. 263-285

Persistent link: https://www.econbiz.de/10011890710

Asymmetric relationship between order imbalance and realized volatility : evidence from the Australian market

Bissoondoyal-Bheenick, Emawtee; Brooks, Robert; Do, … - In: International review of economics & finance : IREF 62 (2019), pp. 309-320

Persistent link: https://www.econbiz.de/10012205552