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Econometric Institute research papers
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929
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405
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1
Modelling the relationship between crude oil and agricultural commodity prices
Duc Hong Vo
;
Tan Ngoc Vu
;
Anh The Vo
;
McAleer, Michael
-
2018
Persistent link: https://www.econbiz.de/10011987133
Saved in:
2
Latent volatility granger causality and spillovers in renewable energy and crude oil ETFs
Chang, Chia-Lin
;
McAleer, Michael
;
Wang, Yu-Ann
-
2018
Persistent link: https://www.econbiz.de/10011863536
Saved in:
3
Volatility spillovers and causality of carbon emissions, oil and coal spot and futures for the EU and USA
Chang, Chia-Lin
;
McAleer, Michael
;
Zuo, Guangdong
-
2017
-
Revised: May 2017
Persistent link: https://www.econbiz.de/10011965722
Saved in:
4
Does the price of crude oil help predict the conditional distribution of aggregate equity return?
Nonejad, Nima
- In:
Empirical economics : a journal of the Institute for …
58
(
2020
)
1
,
pp. 313-349
Persistent link: https://www.econbiz.de/10012218998
Saved in:
5
Co-movements in commodity markets andimplications in diversification benefits
Cai, Xiao Jing
;
Fang, Zheng
;
Youngho, Chang
;
Tian, Shuairu
- In:
Empirical economics : a journal of the Institute for …
58
(
2020
)
2
,
pp. 393-425
Persistent link: https://www.econbiz.de/10012219019
Saved in:
6
The role of temporal dependence in factor selection and forecasting oil prices
Binder, Kyle E.
;
Pourahmadi, Mohsen
;
Mjelde, James W.
- In:
Empirical economics : a journal of the Institute for …
58
(
2020
)
3
,
pp. 1185-1223
Persistent link: https://www.econbiz.de/10012219548
Saved in:
7
Crude oil inventories : the two faces of Janus?
Kim, Soohyeon
;
Baek, Jungho
;
Heo, Eunnyeong
- In:
Empirical economics : a journal of the Institute for …
59
(
2020
)
2
,
pp. 1003-1018
Persistent link: https://www.econbiz.de/10012260639
Saved in:
8
Is it possible to accurately forecast the evolution of Brent crude oil prices? : an answer based on parametric and nonparametric forecasting methods
Álvarez-Díaz, Marcos
- In:
Empirical economics : a journal of the Institute for …
59
(
2020
)
3
,
pp. 1285-1305
Persistent link: https://www.econbiz.de/10012285558
Saved in:
9
Linkages between global crude oil market volatility and financial market by complexity synchronization
Xing, Yani
;
Wang, Jun
- In:
Empirical economics : a journal of the Institute for …
59
(
2020
)
5
,
pp. 2405-2421
Persistent link: https://www.econbiz.de/10012314416
Saved in:
10
On the pernicious effects of oil price uncertainty on US real economic activities
Charles, Amélie
;
Chua, Chew Lian
;
Darné, Olivier
; …
- In:
Empirical economics : a journal of the Institute for …
59
(
2020
)
6
,
pp. 2689-2715
Persistent link: https://www.econbiz.de/10012498637
Saved in:
11
Asymmetric price transmission in the US and German fuel markets : a quantile autoregression approach
Schweikert, Karsten
- In:
Empirical economics : a journal of the Institute for …
56
(
2019
)
3
,
pp. 1071-1095
Persistent link: https://www.econbiz.de/10012041695
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12
Permanent and transitory price shocks in commodity futures markets and their relation to speculation
Haase, Marco
;
Seiler Zimmermann, Yvonne
;
Zimmermann, Heinz
- In:
Empirical economics : a journal of the Institute for …
56
(
2019
)
4
,
pp. 1359-1382
Persistent link: https://www.econbiz.de/10012052196
Saved in:
13
Evidence about asymmetric price transmission in the main European fuel markets : from TAR-ECM to Markov-switching approach
Martín-Moreno, José María
;
Pérez, Rafaela
;
Ruíz, Jesús
- In:
Empirical economics : a journal of the Institute for …
56
(
2019
)
4
,
pp. 1383-1412
Persistent link: https://www.econbiz.de/10012052197
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14
Oil price uncertainty and real output growth : new evidence from selected oil-importing countries in the Middle East
Maghyereh, Aktham I.
;
Awartani, Basil
;
Sweidan, Osama …
- In:
Empirical economics : a journal of the Institute for …
56
(
2019
)
5
,
pp. 1601-1621
Persistent link: https://www.econbiz.de/10012052209
Saved in:
15
The US oil supply revolution and the global economy
Mohaddes, Kamiar
;
Raissi, Mehdi
- In:
Empirical economics : a journal of the Institute for …
57
(
2019
)
5
,
pp. 1515-1546
Persistent link: https://www.econbiz.de/10012215822
Saved in:
16
Moody oil : what is driving the crude oil price?
Lechthaler, Filippo
;
Leinert, Lisa
- In:
Empirical economics : a journal of the Institute for …
57
(
2019
)
5
,
pp. 1547-1578
Persistent link: https://www.econbiz.de/10012215845
Saved in:
17
Relative efficiency of oil price versus oil output in promoting economic growth : is OPEC's strategy right?
Kozlova, Olesia
;
Noguera-Santaella, Jose
- In:
Empirical economics : a journal of the Institute for …
57
(
2019
)
6
,
pp. 1997-2012
Persistent link: https://www.econbiz.de/10012215950
Saved in:
18
The impact of commodity price shocks in a copper-rich economy : the case of Chile
Pedersen, Michael
- In:
Empirical economics : a journal of the Institute for …
57
(
2019
)
4
,
pp. 1291-1318
Persistent link: https://www.econbiz.de/10012115303
Saved in:
19
Asymmetric effects of oil price shocks on Asian economies : a nonlinear analysis
Khan, Muhammad Arshad
;
Husnain, Muhammad Iftikhar Ul
; …
- In:
Empirical economics : a journal of the Institute for …
57
(
2019
)
4
,
pp. 1319-1350
Persistent link: https://www.econbiz.de/10012115305
Saved in:
20
The effect of oil price changes on the price of Russian and Chinese oil shares
Hall, Stephen G.
;
Kenjegaliev, Amangeldi
- In:
Empirical economics : a journal of the Institute for …
53
(
2017
)
4
,
pp. 1639-1656
Persistent link: https://www.econbiz.de/10012019415
Saved in:
21
US inflation and output since the 1970s : a P-star approach
Cronin, David
- In:
Empirical economics : a journal of the Institute for …
54
(
2018
)
2
,
pp. 567-591
Persistent link: https://www.econbiz.de/10011949286
Saved in:
22
Forecasting the volatility of crude oil futures using high-frequency data : further evidence
Ma, Feng
;
Wei, Yu
;
Chen, Wang
;
He, Feng
- In:
Empirical economics : a journal of the Institute for …
55
(
2018
)
2
,
pp. 653-678
Persistent link: https://www.econbiz.de/10011949867
Saved in:
23
Impact of oil prices on firm stock return : industry-wise analysis
Waheed, Rida
;
Chen, Wei
;
Sarwar, Suleman
;
Lv, Yulan
- In:
Empirical economics : a journal of the Institute for …
55
(
2018
)
2
,
pp. 765-780
Persistent link: https://www.econbiz.de/10011949913
Saved in:
24
Investigating the twin-deficit phenomenon among oil-exporting countries : does oil really matter?
Akanbi, Olusegun A.
;
Sbia, Rashid
- In:
Empirical economics : a journal of the Institute for …
55
(
2018
)
3
,
pp. 1045-1064
Persistent link: https://www.econbiz.de/10011950068
Saved in:
25
Can oil prices help predict US stock market returns? : evidence using a dynamic model averaging (DMA) approach
Naser, Hanan
;
Alaali, Fatema
- In:
Empirical economics : a journal of the Institute for …
55
(
2018
)
4
,
pp. 1757-1777
Persistent link: https://www.econbiz.de/10011950311
Saved in:
26
Modelling the effects of oil prices on global fertilizer prices and volatility
Chen, Ping-Yu
;
Chang, Chia-Lin
;
Chen, Chi-chung
; …
-
2013
Persistent link: https://www.econbiz.de/10010354373
Saved in:
27
The role of news-based uncertainty indices in predicting oil markets : a hybrid nonparametric quantile causality method
Balcilar, Mehmet
;
Bekiros, Stelios
;
Gupta, Rangan
- In:
Empirical economics : a journal of the Institute for …
53
(
2017
)
3
,
pp. 879-889
Persistent link: https://www.econbiz.de/10011892898
Saved in:
28
Oil price effects over individual Portuguese stock returns
Teixeira, Rui F.
;
Madaleno, Mara
;
Vieira, Elisabete F. …
- In:
Empirical economics : a journal of the Institute for …
53
(
2017
)
3
,
pp. 891-926
Persistent link: https://www.econbiz.de/10011892906
Saved in:
29
Dynamic adjustment of ethanol demand to crude oil prices : implications for mandated ethanol usage
Suh, Dong Hee
;
Moss, Charles B.
- In:
Empirical economics : a journal of the Institute for …
52
(
2017
)
4
,
pp. 1587-1607
Persistent link: https://www.econbiz.de/10011945969
Saved in:
30
On the influence of US monetary policy on crude oil price volatility
Amendola, Alessandra
;
Candila, Vincenzo
;
Scognamillo, …
- In:
Empirical economics : a journal of the Institute for …
52
(
2017
)
1
,
pp. 155-178
Persistent link: https://www.econbiz.de/10011631589
Saved in:
31
Will the oil price change damage the stock market in a bull market? : a re-examination of their conditional relationships
Liao, Shu-Yi
;
Chen, Sheng-tung
;
Huang, Mao-Lung
- In:
Empirical economics : a journal of the Institute for …
50
(
2016
)
3
,
pp. 1135-1169
Persistent link: https://www.econbiz.de/10011481444
Saved in:
32
Crude oil and world stock markets : volatility spillovers, dynamic correlations, and hedging
Wang, Yudong
;
Liu, Li
- In:
Empirical economics : a journal of the Institute for …
50
(
2016
)
4
,
pp. 1481-1509
Persistent link: https://www.econbiz.de/10011481725
Saved in:
33
Correlation structure and principal components in the global crude oil market
Dai, Yue-hua
;
Xie, Wen-jie
;
Jiang, Zhi-qiang
;
Jiang, …
- In:
Empirical economics : a journal of the Institute for …
51
(
2016
)
4
,
pp. 1501-1519
Persistent link: https://www.econbiz.de/10011662331
Saved in:
34
Does oil price respond to macroeconomic uncertainty? : new evidence
Yin, Libo
- In:
Empirical economics : a journal of the Institute for …
51
(
2016
)
3
,
pp. 921-938
Persistent link: https://www.econbiz.de/10011554350
Saved in:
35
Modeling the effect of oil price on global fertilizer prices
Chen, Ping-yu
;
Chang, Chia-Lin
;
Chen, Chi-chung
; …
-
2010
Persistent link: https://www.econbiz.de/10008664056
Saved in:
36
Modeling the volatility in global fertilizer prices
Chen, Ping-yu
;
Chang, Chia-Lin
;
Chen, Chi-chung
; …
-
2010
Persistent link: https://www.econbiz.de/10003995695
Saved in:
37
Crude oil hedging strategies using dynamic multivariate GARCH
Roengchai Tansuchat
;
Chang, Chia-Lin
;
McAleer, Michael
-
2010
Persistent link: https://www.econbiz.de/10003987324
Saved in:
38
Conditional correlations and volatility spillovers between crude oil and stock index returns
Tansuchat, Roengchai
;
Chang, Chia-Lin
;
McAleer, Michael
-
2010
Persistent link: https://www.econbiz.de/10003987330
Saved in:
39
Analyzing and forecasting volatility spillovers and asymmetries in major crude oil spot, forward and futures markets
Chang, Chia-Lin
;
McAleer, Michael
;
Tansuchat, Roengchai
-
2010
Persistent link: https://www.econbiz.de/10003987336
Saved in:
40
Testing for and dating structural break in smooth time-varying cointegration parameters, with an application to retail gasoline price and crude oil price long-run relationship
Neto, David
- In:
Empirical economics : a journal of the Institute for …
49
(
2015
)
3
,
pp. 909-928
Persistent link: https://www.econbiz.de/10011377316
Saved in:
41
Oil price shocks and stock markets : testing for non-linearity
Jiménez-Rodríguez, Rebeca
- In:
Empirical economics : a journal of the Institute for …
48
(
2015
)
3
,
pp. 1079-1102
Persistent link: https://www.econbiz.de/10011303522
Saved in:
42
A threshold cointegration analysis of asymmetric adjustment of OPEC and non-OPEC monthly crude oil prices
Ghassan, Hassan B.
;
Banerjee, Prashanta K.
- In:
Empirical economics : a journal of the Institute for …
49
(
2015
)
1
,
pp. 305-323
Persistent link: https://www.econbiz.de/10011325705
Saved in:
43
Modelling conditional correlations for risk diversification in crude oil markets
Chang, Chia-Lin
;
McAleer, Michael
;
Tansuchat, Roengchai
-
2009
Persistent link: https://www.econbiz.de/10003877105
Saved in:
44
Forecasting volatility and spillovers in crude oil spot, forward and futures markets
Chang, Chia-Lin
;
McAleer, Michael
;
Tansuchat, Roengchai
-
2009
Persistent link: https://www.econbiz.de/10003877109
Saved in:
45
Revealing asymmetries in the loss function of WTI oil futures market
Mamatzakis, Emmanuel C.
- In:
Empirical economics : a journal of the Institute for …
47
(
2014
)
2
,
pp. 411-426
Persistent link: https://www.econbiz.de/10010391169
Saved in:
46
Inflation uncertainty, growth uncertainty, oil prices, and output growth in the UK
Bhar, Ramprasad
;
Mallik, Girijasankar
- In:
Empirical economics : a journal of the Institute for …
45
(
2013
)
3
,
pp. 1333-1350
Persistent link: https://www.econbiz.de/10010222392
Saved in:
47
What is an oil shock? : panel data evidence
Kim, Dong-heon
- In:
Empirical economics : a journal of the Institute for …
43
(
2012
)
1
,
pp. 121-143
Persistent link: https://www.econbiz.de/10009582148
Saved in:
48
Competition and price asymmetries in the Greek oil sector : an empirical analysis on gasoline market
Polemis, Michael L.
- In:
Empirical economics : a journal of the Institute for …
43
(
2012
)
2
,
pp. 789-817
Persistent link: https://www.econbiz.de/10009630257
Saved in:
49
Global commodity cycles and linkages : a FAVAR approach
Lombardi, Marco
;
Osbat, Chiara
;
Schnatz, Bernd
- In:
Empirical economics : a journal of the Institute for …
43
(
2012
)
2
,
pp. 651-670
Persistent link: https://www.econbiz.de/10009630320
Saved in:
50
Supply-side effects of strong energy price hikes in German industry and transportation
Knetsch, Thomas A.
;
Molzahn, Alexander
- In:
Empirical economics : a journal of the Institute for …
43
(
2012
)
3
,
pp. 1215-1238
Persistent link: https://www.econbiz.de/10009682796
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