The effects of crude oil shocks on stock market shifts behaviour: A regime switching approach

By C. Aloui, Rania Jammazi. 2009

271 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Renewable Energy, Sustainability and the Environment

View Paper: https://www.semanticscholar.org/paper/2b0804ff1a01f903a5d9eecc4e58fbb03860e581

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In Economics and Econometrics

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Citations in the corpus

The relationship between energy and equity markets: evidence from volatility impulse response functions (2014, methodology): “Finally, using a two-regime Markov-switching EGARCH model, Aloui and Jammazi (2009) examines the relationship between crude oil shocks and stock markets from December 1987 to January 2007 and finds that net oil price increases plays a significant role in determining both the volatility of real…”
Crude oil shocks and stock markets: A panel threshold cointegration approach (2011, result): “Aloui and Jammazi (2009) and Chen (2010), who use Markov-switching models, obtain similar results.”
Oil and stock returns: Evidence from European industrial sector indices in a time-varying environment (2013, unknown): “The recent evidence show that the relationship between oil price returns and aggregate stock market returns is indeed time-varying (Saborsky, 2012; Chang et al., 2012; Filis et al., 2011; Bharn and Nikolovann, 2010; Choi and Hammoudeh, 2010; Aloui and Jammazi, 2009).”
Forecasting the realized range-based volatility using dynamic model averaging approach (2017, background): “For example, crude oil is traded in the global market and its price uncertainty has significant effect on economic growth and financial market all around the world (see, e.g., Hamilton, 1983; Kilian, 2006; Aloui and Jammazi, 2009; Kilian and Park, 2009).”
Assessing the impacts of oil price fluctuations on stock returns in emerging markets (2012, background): “Note that this contract is provided by 2 Examples include Ciner (2001) for the US stock markets, Papapetrou (2001) for the Greek stock market, and El-Sharif et al. (2005) for the UK evidence, Aloui and Jammazi (2009), and Jammazi and Aloui (2010) for G7 countries.”
Extreme risk spillovers between crude oil and stock markets (2015, background): “…(1999), Papapetrou (2001), Huang, et al. (2005), Basher and Sadorsky (2006), Cong et al. (2008), Nandha and Faff (2008), Park and Ratti (2008), Aloui and Jammazi (2009), Apergis and Miller (2009), Kilian and Park (2009), Miller and Ratti (2009), Filis, et al. (2011), Masih, et al. (2011), Vo…”
Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries (2011, background): “Aloui and Jammazi (2009) applied a univariate regime-switching EGARCHmodel to examine the relationship between crude oil shocks and UK, French and Japanese stock markets.”
Conditional correlations and volatility spillovers between crude oil and stock index returns (2010, unknown): “Finally, using a two-regime Markovswitching EGARCH model, Aloui and Jammazi (2009) examine the relationship between crude oil shocks and stock markets from December 1987 to January 2007.”
Forecasting oil price realized volatility using information channels from other asset classes (2017, background): “6 See, inter alia, Aloui and Jammazi (2009), Sari et al. (2010), Arouri et al. (2011), Aloui et al. (2013), Souček and Todorova (2013, 2014), Mensi et al.”