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New evidence of psychological barrier from the oil market

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Oil price shocks and stock return volatility : new evidence based on volatility impulse response analysis

Eraslan, Sercan; Ali, Faek Menla - In: Economics letters 172 (2018), pp. 59-62

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Oil volatility risk and expected stock returns

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On the risk spillover across the oil market, stock market, and the oil related CDS sectors : a volatility impulse response approach

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Oil price shocks and stock return volatility : new evidence based on volatility impulse response analysis

Eraslan, Sercan; Ali, Faek Menla - 2018

We use volatility impulse response analysis estimated from the bivariate GARCH-BEKK model to quantify the size and the … persistence of different types of oil price shocks on stock return volatility and the covariance between oil price changes and …