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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 …

Persistent link: https://www.econbiz.de/10011903691

Asymmetric effects of oil price shocks on stock returns : evidence from a two-stage Markov regime-switching approach

Zhu, Huiming; Su, Xianfang; You, Wan-hai; Ren, Ying-hua - In: Applied economics 49 (2017) 25, pp. 2491-2507

Persistent link: https://www.econbiz.de/10011819559

Explaining the time-varying effects of oil market shocks on US stock returns

Foroni, Claudia; Guérin, Pierre; Marcellino, Massimiliano - In: Economics letters 155 (2017), pp. 84-88

Persistent link: https://www.econbiz.de/10011821575

Oil and stock returns : evidence from European industrial sector indices in a time-varying environment

Degiannakisa, Stavros; Filis, George; Floros, Christos - In: Journal of international financial markets, … 26 (2013), pp. 175-191

Persistent link: https://www.econbiz.de/10010234924

The effects of oil price shocks on U.S. stock order flow imbalances and stock returns

Lambertides, Neophytos; Savva, Christos S.; Tsouknidis, … - In: Journal of international money and finance 74 (2017), pp. 137-146

Persistent link: https://www.econbiz.de/10011787927

Oil price shocks and the US stock market : a nonlinear approach

Hwang, Inwook; Kim, Jaebeom - In: Journal of empirical finance 64 (2021), pp. 23-36

Persistent link: https://www.econbiz.de/10013259395

The asymmetric responses of aggregate earnings and stock returns to oil shocks and policy uncertainty

Kang, Wensheng - In: Asia-Pacific journal of accounting & economics : … 29 (2022) 1, pp. 97-109

Persistent link: https://www.econbiz.de/10012820818

The impacts of oil price shocks and United States economic uncertainty on global stock markets

Kwon, Dohyoung - In: International journal of finance & economics : IJFE 27 (2022) 2, pp. 1595-1607

Persistent link: https://www.econbiz.de/10013184361

Impacts of oil price shock on sector returns with regime-switching approach : new evidence from Indonesian stock market

Dharmawan, Mohammad A.; Priyarsono, Dominicus S.; … - In: International Journal of Energy Economics and Policy : IJEEP 7 (2017) 5, pp. 44-59

Persistent link: https://www.econbiz.de/10011750657

The effects of oil price shocks on stock market volatility : evidence from European data

Degiannakis, Stavros; Filis, George; Kizys, Renatas - In: The energy journal 35 (2014) 1, pp. 35-56

Persistent link: https://www.econbiz.de/10010246079

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