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The effects of oil price uncertainty on economic activities in South Africa

Chiweza, Junior T.; Aye, Goodness C. - In: Cogent economics & finance 6 (2018) 1, pp. 1-17

Autoregressive (SVAR) methodology is applied incorporating realized volatility as an indicator of oil price uncertainty to …

Persistent link: https://www.econbiz.de/10012023148

Oil prices and stock markets : does the effect of uncertainty change over time?

Joo, Young C.; Park, Sung Y. - In: Energy economics 61 (2017), pp. 42-51

Persistent link: https://www.econbiz.de/10011737651

Daily oil price shocks and their uncertainties

Wang, Shu - 2024

- specifically, volatility clustering effectively captured by a GARCH model - this approach achieves global identification of shocks … while allowing for volatility spillovers across them. Findings reveal that increased variance in aggregate demand shocks …

Persistent link: https://www.econbiz.de/10015143999

Uncertainty and Stock Returns in Energy Markets : A Quantile Regression Approach

Cedic, Samir; Mahmoud, Alwan; Manera, Matteo; Uddin, … - 2021

The aim of this paper is to analyze the relationship between different types of uncertainty and stock returns of the renewable energy and the oil & gas sectors. We use the quantile regression approach developed by Koenker and d’Orey (1987; 1994) to assess which uncertainties are the potential...

Persistent link: https://www.econbiz.de/10013233971

Uncertainty and stock returns in energy markets: a quantile regression approach

Cedic, Samir; Mahmoud, Alwan; Manera, Matteo; Uddin, … - 2021

The aim of this paper is to analyze the relationship between different types of uncertainty and stock returns of the renewable energy and the oil & gas sectors. We use the quantile regression approach developed by Koenker and d'Orey (1987; 1994) to assess which uncertainties are the potential...

Persistent link: https://www.econbiz.de/10012510024

Predicting multi-scale positive and negative stock market bubbles in a panel of G7 countries : the role of oil price uncertainty

Van Eyden, Reneé; Gupta, Rangan; Sheng, Xin; Nielsen, … - In: Economies : open access journal 13 (2025) 2, pp. 1-25

While there is a large body of literature on oil uncertainty-equity prices and/or returns nexus, an associated important question of how oil market uncertainty affects stock market bubbles remains unanswered. In this paper, we first use the Multi-Scale Log-Periodic Power Law Singularity...

Persistent link: https://www.econbiz.de/10015210403

Intraday Conditional Value at Risk : A Periodic Mixed-Frequency GAS Approach

Gribisch, Bastian; Eckernkemper, Tobias - 2020

We propose a copula-based periodic mixed frequency GAS framework in order to model and forecast the intraday Exposure Conditional Value at Risk (ECoVaR) for an intraday asset return and the corresponding market return. In particular we analyze GAS models which account for long-memory-type of...

Persistent link: https://www.econbiz.de/10014352170

Risk, Return, and Volatility Feedback : A Bayesian Nonparametric Analysis

Jensen, Mark J. - 2015

is based on a linear, parametric relationship between expected returns and conditional volatility. This paper models the …-realized variance. We find strong robust evidence of volatility feedback in monthly data. Once volatility feedback is accounted for … relationship is nonlinear. Volatility feedback impacts the whole distribution and not just the conditional mean …

Persistent link: https://www.econbiz.de/10013026110

Oil price shocks, economic policy uncertainty and industry stock returns in China : asymmetric effects with quantile regression

You, Wan-hai; Guo, Yawei; Zhu, Huiming; Tang, Yong - In: Energy economics 68 (2017), pp. 1-18

Persistent link: https://www.econbiz.de/10011904980

Idiosyncratic tail risk and expected stock returns : evidence from the Chinese stock markets

Long, Huaigang; Jiang, Yuexiang; Zhu, Yanjian - In: Finance research letters 24 (2018), pp. 129-136

Persistent link: https://www.econbiz.de/10011982519