Oil and Stock Markets in Ongoing Flux: Impact of Current Events on Oil Price and Stock Market Performance
References
- Andersson-Säll, T., & Lindskog, J.S. (2019). A STUDY ON THE DCC-GARCH MODEL’S FORECASTING ABILITY WITH VALUE-AT-RISK APPLICATIONS ON THE SCANDINAVIAN FOREIGN EXCHANGE MARKET. Economics, 2019.
- Binkley, J.K., & Young, J. (2018). The Chow Test with Time Series-Cross Section Data. Social Science Research Network.
- Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 31, 307-327.
- Bollerslev, T. (1990). Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model. The Review of Economics and Statistics, 72 (3), 498-505.
- Chow, G.C. (1960). Tests of Equality Between Sets of Coefficients in Two Linear Regressions. Econometrica, 28(3), 591-605.
- Degiannakis, S., Filis, G., & Arora, V. (2018). Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence. The Energy Journal, International Association for Energy Economics, 39(5).
- Engle, F.R. (1982). Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation. Econometrica, 50(4), 987-1007.
- Engle, F.R., & Sheppard, K. (2001). Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH. NBER Working Paper: No. w8554.
- Engle, F.R. (2002). Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models. Journal of Business & Economic Statistics, 20(3), 339-350.
- Fuller, W.A. (1976). Introduction to Statistical Time Series. New York: John Wiley and Sons.
- Giacometti, R., Torri, G., Rujirarangsan, K., & Cameletti, M. (2023). Spatial Multivariate GARCH Models and Financial Spillovers. Journal of Risk and Financial Management, 16(9):397.
- Joo, Y.C., & Park, S.Y. (2021). The impact of oil price volatility on stock markets: Evidences from oil-importing countries. Energy Economics, 101(2021), 105413.
- Kilian, L., & Park, C. (2009). The Impact of Oil Price Shocks on the U.S. Stock Market. International Economic Review, 50(4), 1267-1287.
- Managi, S., Yousfi, M., Zaied, Y.B., Mabrouk, N.B., & Lahouel, B.B. (2022). Oil price, US stock market and the US business conditions in the era of COVID-19 pandemic outbreak. Economic Analysis and Policy, 73, 129-139.
- Mensi, W., Rehman, M.U., Al-Yahyaee, K.H., & Vo, X.V. (2023). Frequency dependence between oil futures and international stock markets and the role of gold, bonds, and uncertainty indices: Evidence from partial and multivariate wavelet approaches. Resources Policy, Elsevier, 80(C).
- Orskaug, E. (2009). Multivariate DCC-GARCH Model-With Various Error Distributions. Norwegian University of Science and Technology.
- Taleb, N.N. (2008). The black swan: the impact of the highly improbable. New York: Random House.
DOI: https://doi.org/10.2478/picbe-2024-0271 | Journal eISSN: 2558-9652
Language: English
Page range: 3320 - 3331
Published on: Jul 3, 2024
Published by: Bucharest University of Economic Studies
In partnership with: Paradigm Publishing Services
Publication frequency: 1 issue per year
Related subjects:
© 2024 Maria-Cristina Zwak-Cantoriu, published by Bucharest University of Economic Studies
This work is licensed under the Creative Commons Attribution 4.0 License.