Africa; no effect on the transportation sector of Brazil, China, and South Africa, a negative one on those of India and …

link between oil shocks and the volatility of economic growth. A new measure of oil shocks is developed and shown to be … volatility to oil price changes. Uncertainty about future growth is considerably lower compared to a benchmark AR(1) model when …

paper investigates the impact of EPU on the crude oil return volatility and which EPU index has the most forecasting power … the crude oil return volatility, but the effect is short-lived and the decay period is about one year. Particularly, our … results show that the US EPU index has the best forecasting power for crude oil return volatility over the long-term, whereas …

This paper investigates the time-varying conditional correlation between oil price and stock market volatility for six …

The purpose of this paper is to investigate the volatility spillovers between the returns on crude oil futures and oil … be quite low using the CCC model, while the VARMA-GARCH and VARMA-AGARCH models suggest no significant volatility …