Oil price fluctuation, volatility spillover and the Ghanaian equity market: Implication for portfolio management and hedging effectiveness
By Boqiang Lin, Presley K. Wesseh, Michael Appiah. 2014
212 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Renewable Energy, Sustainability and the Environment
View Paper: https://www.semanticscholar.org/paper/ee6a3b5e19765e60e5eade53e447343bc58e7e57
How researchers see this paper
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In Economics and Econometrics
- Sang Hoon Kang
- X. Vo
- Walid Mensi
- Abdel Razzaq Al Rababa'a
- Duc Khuong Nguyen
- Mohamed Arouri
- K. Al-Yahyaee
- Ahmet Sensoy
In Renewable Energy, Sustainability and the Environment
Citations in the corpus
- Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH ☆ (2015, unknown): “…correlations and hedge ratios between oil and other assets has used multivariate GARCH (generalized autoregressive conditional heteroskedasticity) models like BEKK (Baba, Engle, Kraft, and Kroner, 1990), DCC (dynamic conditional correlation, Engle, 2002) or VARMA-GARCH (Ling and McAleer, 2003).”
- Cointegration and nonlinear causality amongst gold, oil, and the Indian stock market: Evidence from implied volatility indices (2017, unknown): “This paper also extends the current literature, which has mostly relied on linear models to examine the volatility relationships between commodities and stock markets (Lin et al., 2014; Sadorsky, 2014).”
- Asymmetric spillover and network connectedness between crude oil, gold, and Chinese sector stock markets (2021, background): “A second strand of literature used a variety of multivariate generalized autoregressive conditional heteroskedasticity (GARCH)models to analyze the dynamic conditional correlations, and the transmission of returns and volatility between crude oil and stock markets (Arouri et al., 2011; Sadorsky, 201”