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A note on oil price shocks and the forecastability of gold realized volatility

Demirer, Rıza; Gupta, Rangan; Pierdzioch, Christian; … - In: Applied economics letters 28 (2021) 21, pp. 1889-1897

Persistent link: https://www.econbiz.de/10012697706

Oil price uncertainty shocks and global equity markets : evidence from a GVAR model

Salisu, Afees A.; Gupta, Rangan; Demirer, Rıza - In: Journal of risk and financial management : JRFM 15 (2022) 8, pp. 1-26

This paper examines the propagation of oil price uncertainty shocks to real equity prices using a large-scale Global Vector Autoregressive (GVAR) model of 26 advanced and emerging stock markets. The GVAR framework allows us to capture the transmission of local and global shocks, while...

Persistent link: https://www.econbiz.de/10013380496

Geopolitical risks and the predictability of regional oil returns and volatility

Demirer, Rıza; Gupta, Rangan; Ji, Qiang; Tiwari, … - In: OPEC energy review 43 (2019) 3, pp. 342-361

Persistent link: https://www.econbiz.de/10013339003

Risk aversion and the predictability of crude oil market volatility : a forecasting experiment with random forests

Demirer, Rıza; Gillas, Konstantinos Gkillas; Gupta, Rangan - In: Journal of the Operational Research Society 73 (2022) 8, pp. 1755-1767

Persistent link: https://www.econbiz.de/10013373057

Forecasting oil and gold volatilities with sentiment indicators under structural breaks

Luo, Jiawen; Demirer, Rıza; Gupta, Rangan; Ji, Qiang - In: Energy economics 105 (2022), pp. 1-22

Persistent link: https://www.econbiz.de/10013201953

Oil shocks and directional predictability of macroeconomic uncertainties of developed economies : evidence from high-frequency data

Shahzad, Syed Jawad Hussain; Gupta, Rangan; Demirer, Rıza - In: Scottish journal of political economy : the journal of … 69 (2022) 2, pp. 169-185

Persistent link: https://www.econbiz.de/10013190691

Oil and stock market momentum

Chen, Chun-Da; Cheng, Chiao-Ming; Demirer, Rıza - In: Energy economics 68 (2017), pp. 151-159

Persistent link: https://www.econbiz.de/10011905040

Investor herds and oil prices evidence in the Gulf Cooperation Council (GCC) equity markets

Ulussever, Talat; Demirer, Rıza - In: Central Bank review / The Central Bank of the Republic … 17 (2017) 3, pp. 77-89

Persistent link: https://www.econbiz.de/10011781425

On the volatility transmission between oil and stock markets : a comparison of emerging importers and exporters

Bouri, Elie; Demirer, Rıza - In: Economia politica : journal of analytical and … 33 (2016) 1, pp. 63-82

Persistent link: https://www.econbiz.de/10011637703

Oil price risk exposure and the cross-section of stock returns : the case of net exporting countries

Demirer, Rıza; Jategaonkar, Shrikant P.; Khalifa, … - In: Energy economics 49 (2015), pp. 132-140

Persistent link: https://www.econbiz.de/10011536689