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A weekly structural VAR model of the US crude oil market
Valenti, Daniele; Bastianin, Andrea; Manera, Matteo - 2022
structural shock that we label expectational shock. This shock plays a crucial role when describing the series of events that …
Persistent link: https://www.econbiz.de/10013254444
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How do Bitcoin price fluctuations affect crude oil markets?
Kaabia, Olfa; Abid, Ilyes; Guesmi, Khaled; Sahut, … - In: Revue Gestion 2000 : management & prospective 37 (2020) 1/2, pp. 47-60
Persistent link: https://www.econbiz.de/10012372792
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On the identification of the oil-stock market relationship
Arampatzidis, Ioannis; Panagiōtidēs, Theodōros - In: Economic modelling 120 (2023), pp. 1-13
Persistent link: https://www.econbiz.de/10014384178
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On the identification of the oil-stock market relationship
Arampatzidis, Ioannis; Panagiōtidēs, Theodōros - 2022
Persistent link: https://www.econbiz.de/10013467188
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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
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Explaining the time-varying effects of oil market shocks on U.S. stock returns
Foroni, Claudia; Guérin, Pierre; Marcellino, Massimiliano - 2017 - This version: February 20, 2017
Persistent link: https://www.econbiz.de/10011805636
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Drifts and volatilities under measurement error : assessing monetary policy shocks over the last century
Amir Ahmadi, Pooyan; Matthes, Christian; Wang, Mu-Chun - In: Quantitative economics : QE ; journal of the … 7 (2016) 2, pp. 591-611
Persistent link: https://www.econbiz.de/10011612106
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Drifts and volatilities under measurement error : assessing monetary policy shocks over the last century
Amir Ahmadi, Pooyan; Matthes, Christian; Wang, Mu-Chun - In: Quantitative economics : QE ; journal of the … 7 (2016) 2, pp. 591-611
build a multivariate time series model with time-varying parameters and stochastic volatility that features measurement … impact of monetary policy shocks, but the majority of this variation is driven by changes in exogenous volatility. …
Persistent link: https://www.econbiz.de/10011800671
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Drifts, volatilities, and impulse responses over the last century
Amir Ahmadi, Pooyan; Matthes, Christian; Wang, Mu-Chun - 2014
than you think.", respectively. We use vector autoregression with time-varying parameters and stochastic volatility to …
Persistent link: https://www.econbiz.de/10010489284
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Modelling the global price of Oil : is there any role for the oil futures-spot spread?
Valenti, Daniele - In: The energy journal 43 (2022) 2, pp. 41-66
Persistent link: https://www.econbiz.de/10013187829