Jump dynamics and volatility: Oil and the stock markets

By Jer-Shiou Chiou, Yen‐Hsien Lee. 2009

200 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/5da1214215bea3a7da90731bc6f48e45530dfe81

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In Economics and Econometrics

Citations in the corpus

Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries (2011, methodology): “Finally, Choi and Hammoudeh (2010) applied a symmetric DCC-GARCH model and indicated increasing correlations among Brent oil, WTI oil, copper, gold and silver but decreasing correlations with the S&P500 index. Chang, McAleer, and Tansuchat (2010) based on a symmetric DCC-GARCH model also investigate”
The relationship between energy and equity markets: evidence from volatility impulse response functions (2014, background): “Most recently, 6 For linkage between oil prices and stock returns, see also Jones and Kaul (1996), Hammoudeh, et al. (2004), Park and Ratti (2008), Chiou and Lee (2009), Malik and Ewing (2009), Choi and Hammoudeh (2010), and Filis et al. (2011).”
Oil prices and stock market in China: A sector analysis using panel cointegration with multiple breaks (2012, background): “Two pioneering works are Jones and Kaul (1996) and Huang et al. (1996). Using a standard cash-flow dividend valuation model, Jones and Kaul (1996) find that oil prices do impact aggregate stock returns for Canada, the United States (US), the United Kingdom (UK) and Japan.”
Crude oil shocks and stock markets: A panel threshold cointegration approach (2011, background): “However, except for Chiou and Lee (2009), the existing analysis does not recognize the asymmetric adjustment involving threshold cointegration tests.1 Therefore, this study combines traditional cointegrating and threshold cointegrating analysis to examine the links between crude oil shocks and…”
Measuring contagion between energy market and stock market during financial crisis: A copula approach (2012, background): “Many recent papers have documented small but significantly negative connections between crude oil and stock markets (Chiou and Lee, 2009; Filis, 2010; Miller and Ratti, 2009; Nandha and Faff, 2008; Oberndorfer, 2009; Park and Ratti, 2008).”
On the links between stock and commodity markets' volatility (2013, background): “Chiou and Lee (2009) examine the asymmetric effects of WTI daily oil prices on S&P 500 stock returns from January 1, 1992 to November 7, 2006, by investigating structure changes in this dependency relationship.”