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Oil shocks and stock market volatility of the BRICS : a GARCH-MIDAS approach

Salisu, Afees A.; Gupta, Rangan - In: Global finance journal 48 (2021), pp. 1-9

Persistent link: https://www.econbiz.de/10012886905

The effect of oil uncertainty shock on real GDP of 33 countries : a global VAR approach

Salisu, Afees A.; Gupta, Rangan; Olaniran, Abeeb - In: Applied economics letters 30 (2023) 3, pp. 269-274

Persistent link: https://www.econbiz.de/10013553138

Oil shocks and state-level stock market volatility of the United States : a GARCH-MIDAS approach

Salisu, Afees A.; Gupta, Rangan; Cepni, Oguzhan; … - In: Review of quantitative finance and accounting 63 (2024) 4, pp. 1473-1510

Persistent link: https://www.econbiz.de/10015178531

Technological shocks and stock market volatility over a century

Salisu, Afees A.; Demirer, Rıza; Gupta, Rangan - In: Journal of empirical finance 79 (2024), pp. 1-31

Persistent link: https://www.econbiz.de/10015179715

Dynamic effects of monetary policy shocks on macroeconomic volatility in the United Kingdom

Salisu, Afees A.; Gupta, Rangan - In: Applied economics letters 28 (2021) 18, pp. 1594-1599

Persistent link: https://www.econbiz.de/10012626718

A note on the COVID-19 shock and real GDP in emerging economies

Salisu, Afees A.; Adediran, Idris A.; Gupta, Rangan - In: Emerging markets, finance & trade : a journal of the … 58 (2022) 1, pp. 93-101

Persistent link: https://www.econbiz.de/10012802051

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

The financial US uncertainty spillover multiplier : evidence from a GVAR model

Salisu, Afees A.; Gupta, Rangan; Demirer, Rıza - In: International finance : the only journal bridging the … 25 (2022) 3, pp. 313-340

Persistent link: https://www.econbiz.de/10013472786

Global evidence of the COVID-19 shock on real equity prices and real exchange rates : a counterfactual analysis with a threshold-augmented GVAR model

Salisu, Afees A.; Ayinde, Taofeek Olusola; Gupta, Rangan; … - In: Finance research letters 47 (2022) 1, pp. 1-10

Persistent link: https://www.econbiz.de/10013455599

The effect of US uncertainty shock on international equity markets : the role of the global financial cycle

Salisu, Afees A.; Gupta, Rangan; Adediran, Idris A. - In: Review of Economic Analysis : REA 15 (2023) 2, pp. 139-159

We contribute to the literature on the international propagation of uncertainty shocks with a Global Vector Autoregressive (GVAR) model that quantifies the spillover effects of uncertainty shocks in the US on to real equity prices of 32 advanced and emerging countries (besides the US). In this...

Persistent link: https://www.econbiz.de/10014310354