Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries

By Rustam Boldanov, Stavros Degiannakis *, George Filis. 2016

139 citations recorded by the source corpus.

Subfields: Economics and Econometrics, General Energy

View Paper: https://www.semanticscholar.org/paper/0eb04b06c1bd9096645d5f3b83b3ee69f2d99183

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. George Filis
2. Stavros Degiannakis *
3. Nikolaos Antonakakis
4. Shaen Corbet
5. Brian M. Lucey
6. David Gabauer
7. Vipin Arora
8. Paraskevi Katsiampa

In General Energy

1. Paraskevi Katsiampa
2. Shaen Corbet
3. Brian M. Lucey
4. George Filis
5. F. P. Gracia
6. Stavros Degiannakis *

Citations in the corpus

• High frequency volatility co-movements in cryptocurrency markets (2019, methodology): “Among few authors who have studied the interconnectedness of cryptocurrency markets are Fry and Cheah [2016], Cheah et al. [2018], Ciaian et al. [2018], Corbet et al. [2018] Katsiampa [2017], Katsiampa [2018] and Katsiampa et al. [2019]. More specifically, Cheah et al. [2018] modelled cross market B”
• Oil volatility, oil and gas firms and portfolio diversification (2018, background): “The only two studies that are closer to this, are performed by Boldanov et al. (2016) and Maghyereh et al.”
• Volatility co-movement between Bitcoin and Ether (2019, background): “and Fomby, 2006), and to the Dynamic Conditional Correlation model (Boldanov et al., 2016), since consistency and asymptotic normality of the estimated parameters of the latter model have not yet been established (Caporin and McAleer, 2012).”
• Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence (2018, background): “By contrast, Boldanov et al. (2016) do report heterogeneous relationships between the oil and stock market volatilities of oil-importing and oil-exporting countries.”
• Oil price shocks and uncertainty: How stable is their relationship over time? (2018, background): “The impact of oil price shocks on investment uncertainty is 1 See, Sadorsky (1999), Park and Ratti (2008), Filis (2010), Cunado and de Gracia (2014), Angelidis et al. (2015), Boldanov et al. (2016) and Antonakakis et al. (2017), among many others.”
• An empirical investigation of volatility dynamics in the cryptocurrency market (2019, unknown): “BEKK models can also be preferred to other Multivariate GARCH models, including Engle's (2002) Dynamic Conditional Correlation (DCC) model (Caporin and McAleer, 2012; Boldanov et al., 2016), due to the fact that consistency and asymptotic normality of the estimated parameters of any version of the D”