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Leverage effects and stochastic volatility in spot oil returns : a Bayesian approach with VaR and CVaR applications
Chen, Liyuan; Zerilli, Paola; Baum, Christopher F. - In: Energy economics 79 (2019), pp. 111-129
Persistent link: https://www.econbiz.de/10012172264
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Equity premium prediction using the price of crude oil : uncovering the nonlinear predictive impact
Nonejad, Nima - In: Energy economics 115 (2022), pp. 1-24
Persistent link: https://www.econbiz.de/10013541756
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The predictive effect of risk aversion on oil returns under different market conditions
Xiao, Jihong; Wang, Yudong; Wen, Danyan - In: Energy economics 126 (2023), pp. 1-15
Persistent link: https://www.econbiz.de/10014483433
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The skewness of oil price returns and equity premium predictability
Dai, Zhifeng; Zhou, Huiting; Kang, Jie; Wen, Fenghua - In: Energy economics 94 (2021), pp. 1-11
Persistent link: https://www.econbiz.de/10012649450
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A dynamic conditional regime-switching GARCH CAPM for energy and financial markets
Urom, Christian; Chevallier, Julien; Zhu, Bangzhu - In: Energy economics 85 (2020), pp. 1-45
Persistent link: https://www.econbiz.de/10012510103
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Forecasting WTI crude oil futures returns : does the term structure help?
Bredin, Donal; O'Sullivan, Conall; Spencer, Simon - In: Energy economics 100 (2021), pp. 1-20
Persistent link: https://www.econbiz.de/10012990233
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Refining the asymctmetric impacts of oil price uncertainty on Chinese stock returns based on a semiparametric additive quantile regression analysis
Xie, Qichang; Wu, Haifeng; Ma, Yu - In: Energy economics 102 (2021), pp. 1-14
Persistent link: https://www.econbiz.de/10013162433
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Dynamic spillovers between oil and stock markets in the Gulf Cooperation Council Countries
Awartani, Basel; Maghyereh, Aktham I. - In: Energy economics 36 (2013), pp. 28-42
Persistent link: https://www.econbiz.de/10009724768
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Does the source of oil price shocks matter for South African stock returns? : a structural VAR approach
Gupta, Rangan; Modise, Mampho P. - In: Energy economics 40 (2013), pp. 825-831
Persistent link: https://www.econbiz.de/10010355560