Assessing volatility transmission between Brent and stocks in the major global oil producers and consumers – the multiscale robust quantile regression

Alsalman Z (2016) Oil price uncertainty and the U.S. stock market analysis based on a GARCH-in-mean VAR model. Energy Econ 59:251–260. https://doi.org/10.1016/j.eneco.2016.08.015 Andrews DF, Mallows CL (1974) Scale mixtures of normal distributions. Journal of the Royal Statistical Society. Series B 36(1):99–102. https://doi.org/10.1111/j.2517-6161.1974.tb00989.x Arouri MEH, Lahiani A, Nguyen DK (2011a) Return and volatility transmission between world oil prices and stock markets of the GCC countries. Economic Modelling 28(4):1815–1825. https://doi.org/10.1016/j.econmod.2011.03.012 Arouri MEH, Jouini J, Nguyen DC (2011b) Volatility spillovers between oil prices and stock sector returns: implications for portfolio management. J Int Money Financ 30(7):1387–1405. https://doi.org/10.1016/j.jimonfin.2011.07.008 Arouri MEH, Jouini J, Nguyen DK (2012) On the impacts of oil price fluctuations on European equity markets: volatility spillover and hedging effectiveness. Energy Econ 34(2):611–617. https://doi.org/10.1016/j.eneco.2011.08.009 Ashfaq S, Tang Y, Maqbool R (2019) Volatility spillover impact of world oil prices on leading Asian energy exporting and importing economies’ stock returns. Energy 188:116002. https://doi.org/10.1016/j.energy.2019.116002 Bhar R, Nikolova B (2010) Global oil prices, oil industry and equity returns: Russian experience. Scottish Journal of Political Economy 57(2):169–186. https://doi.org/10.1111/j.1467-9485.2010.00512.x Chen S-W, Shen C-H, Xie Z (2008) Evidence of a nonlinear relationship between inflation and inflation uncertainty: the case of the four little dragons. J Policy Model 30(2):363–376. https://doi.org/10.1016/j.jpolmod.2007.01.007 Conlon T, Cotter J (2012) An empirical analysis of dynamic multiscale hedging using wavelet decomposition. J Futur Mark 32(3):272–299. https://doi.org/10.1002/fut.20519 Dajčman S (2013) Interdependence between some major European stock markets – A wavelet led/lag analysis. Prague Economic Papers 22(1):28–49. https://doi.org/10.18267/j.pep.439 Dewandaru G, Rizvi SAR, Masih R, Masih M, Alhabshi SO (2014) Stock market co-movements: Islamic versus conventional equity indices with multi-timescales analysis. Econ Syst 38(4):553–571. https://doi.org/10.1016/j.ecosys.2014.05.003 Fernandez C, Steel MF (1998) On bayesian modeling of fat tails and skewness. J Am Stat Assoc 93(441):359–371. https://doi.org/10.1080/01621459.1998.10474117 Fidrmuc J, Kapounek S, Junge F (2020) Cryptocurrency market efficiency: evidence from wavelet analysis. Finance a úvěr-Czech Journal of Economics and Finance 70(2):121–144 Gomes M, Chaibi A (2014) Volatility spillovers between oil prices and stock returns: A focus on frontier markets. Journal of Applied Business Research 30(2):509. https://doi.org/10.19030/jabr.v30i2.8421 Grecu E, Albulescu CT, Partachi IP, Stancu S, Trasca DL (2020) Output, uncertainty and fuel prices in the EU countries. Economic Computation and Economic Cybernetics Studies and Research 54(1):15–30. https://doi.org/10.24818/18423264/54.1.20.02 Jouini J (2013) Return and volatility interaction between oil prices and stock markets in Saudi Arabia. J Policy Model 35(6):1124–1144. https://doi.org/10.1016/j.jpolmod.2013.08.003 Khalfaoui R, Boutahar M, Boubaker H (2015) Analyzing volatility spillovers and hedging between oil and stock markets: evidence from wavelet analysis. Energy Econ 49:540–549. https://doi.org/10.1016/j.eneco.2015.03.023 Kirkulak-Uludag B, Lkhamazhapov Z (2017) Volatility dynamics of precious metals: evidence from Russia. Finance a úvěr-Czech Journal of Economics and Finance 67(4):300–317 Kirkulak-Uludag B, Safarzadeh O (2018) The interactions between OPEC oil price and sectoral stock returns: evidence from China. Physica A: Statistical Mechanics and Its Applications 508:631–541. https://doi.org/10.1016/j.physa.2018.02.185 Koenker R, Bassett G (1978) Regression quantiles. Econometrica 46(1):33–50. https://doi.org/10.2307/1913643 Kondoz M, Bora I, Kirikkaleli D, Athari SA (2019) Testing the volatility spillover between crude oil price and the U.S. stock market returns. Management Science Letters 9(8):1221–1230. https://doi.org/10.5267/j.msl.2019.4.019 Lee CM, Lee HS (2016) Improving the predictive power of spreads for economic activity: a wavelet method. Romanian Journal of Economic Forecasting 19(4):65–78 Lee Y-H, Fang H, Su W-F (2014) Effectiveness of portfolio diversification and the dynamic relationship between stock and currency markets in the emerging eastern European and Russian markets. Finance a úvěr-Czech Journal of Economics and Finance 64(4):296–311 Lin B, Wesseh PK Jr, Appiah MO (2014) Oil price fluctuation, volatility spillover and the Ghanaian equity market: implication for portfolio management and hedging effectiveness. Energy Econ 42:172–182. https://doi.org/10.1016/j.eneco.2013.12.017 Lyu Y, Wang P, Wei Y, Ke R (2017) Forecasting the VaR of crude oil market: do alternative distributions help? Energy Econ 66:523–534. https://doi.org/10.1016/j.eneco.2017.06.015 Malik F, Hammoudeh S (2007) Shock and volatility transmission in the oil, US and gulf equity markets. Int Rev Econ Financ 16(3):357–368. https://doi.org/10.1016/j.iref.2005.05.005 Morales GC, Davila LV, Cabral BC, Cepero CL (2017) Robust quantile regression using a generalized class of skewed distributions. Stat – The ISI’s Journal for the Rapid Dissemination of Statistics Research 6(1):113–130 Mun KC (2007) Volatility and correlation in international stock markets and the role of exchange rate fluctuations. J Int Financ Mark Inst Money 17(1):25–41. https://doi.org/10.1016/j.intfin.2005.08.006 Natanelov V, Alam MJ, McKenzie AM (2011) Is there co-movement of agricultural commodities futures prices and crude oil? Energy Policy 39(9):4971–4984. https://doi.org/10.1016/j.enpol.2011.06.016 Nikkinen J, Pynnönen S, Ranta M, Vähämaa S (2011) Cross-dynamics of exchange rate expectations: a wavelet analysis. Int J Financ Econ 16(3):205–217. https://doi.org/10.1002/ijfe.423 Obadi SM, Korček M (2014) Relationship between GDP growth and oil and natural gas consumption in EU countries. Ekonomicky Časopis 62(3):249–264 Pavlova EV, Duborkina IA, Sokolova AP, Doronkina IG, Konovalova EE (2017) Dependence of the Russian economy on oil prices in the context of volatility of the global oil market: articulation of issue. Int J Energy Econ Policy 7(3):225–230 Poměnková J, Klejmová E, Kučerová Z (2019) Cyclicality in lending activity of euro area in pre- and post- 2008 crisis: a local-adaptive-based testing of wavelets. Baltic Journal of Economics 19(1):155–175. https://doi.org/10.1080/1406099x.2019.1596466 Portugal P, Rua A (2020) How the ins and outs shape differently the U.S. unemployment over time and across frequencies. European Economic Review, 121, 103348. https://doi.org/10.1016/j.euroecorev.2019.103348 Ross SA (1989) Information and volatility. The no arbitrage and martingale approach to timing and resolution irrelevancy. J Financ 44(1):1–17. https://doi.org/10.1111/j.1540-6261.1989.tb02401.x Rua A (2010) Measuring comovement in the time-frequency space. J Macroecon 32(2):685–691. https://doi.org/10.1016/j.jmacro.2009.12.005 Rua A (2017) A wavelet-based multivariate multiscale approach for forecasting. Int J Forecast 33(3):581–590. https://doi.org/10.1016/j.ijforecast.2017.01.007 Rua A, Nunes LC (2009) International comovement of stock market returns: a wavelet analysis. J Empir Financ 16(4):632–639. https://doi.org/10.1016/j.jempfin.2009.02.002 Shao Y, Qiao H, Wang S (2017) What determines China's crude oil importing trade patterns? Empirical evidences from 55 countries between 1992 and 2015. Energy Policy 109:854–862. https://doi.org/10.1016/j.enpol.2017.05.063 Thorbecke W (2019) Oil prices and the U.S. economy: evidence from the stock market. Journal of Macroeconomics 61:103137. https://doi.org/10.1016/j.jmacro.2019.103137 Tsai S-L, Chang T (2018) The comovement between money and economic growth in 15 Asia-pacific countries: wavelet coherency analysis in time-frequency domain. Romanian Journal of Economic Forecasting 21(2):63–79 Tsuji C (2008) Return transmission and asymmetric volatility spillovers between oil futures and oil equities: new DCC-MEGARCH analyses. Econ Model 74:167–185. https://doi.org/10.1016/j.econmod.2018.05.007 Wang Y, Liu L (2016) Crude oil and world stock markets: volatility spillovers, dynamic correlations, and hedging. Empir Econ 50(4):1481–1509. https://doi.org/10.1007/s00181-015-0983-2 Wang X, Wang Y (2019) Volatility spillovers between crude oil and Chinese sectoral equity markets: evidence from a frequency dynamics perspective. Energy Econ 80:995–1009. https://doi.org/10.1016/j.eneco.2019.02.019 Wen F, Min F, Zhang Y-J, Yang C (2019) Crude oil price shocks, monetary policy, and China's economy. Int J Financ Econ 24(2):812–827. https://doi.org/10.1002/ijfe.1692 Wichitaksorn N, Choy S, Gerlach R (2014) A generalized class of skew distributions and associated robust quantile regression models. Canadian Journal of Statistics 42(4):579–596. https://doi.org/10.1002/cjs.11228 Xu W, Ma F, Chen W, Zhang B (2019) Asymmetric volatility spillovers between oil and stockmarkets: evidence from China and the United States. Energy Econ 80:310–320. https://doi.org/10.1016/j.eneco.2019.01.014 Yu K, Moyeed R (2001) Bayesian quantile regression. Statistics and Probability Letters 54(4):437–447. https://doi.org/10.1016/s0167-7152(01)00124-9 Zhu DM, Galbraith JW (2010) A generalized asymmetric student-t distribution with application to financial econometrics. J Econ 157(2):297–305. https://doi.org/10.1016/j.jeconom.2010.01.013 Živkov D, Balaban S, Đurašković J (2018) What multiscale approach can tell about the nexus between exchange rate and stocks in the major emerging markets? Finance a úvěr – Czech Journal of Economics and Finance 68(5):491–512 Živkov D, Đurašković J, Manić S (2019) How do oil price changes affect inflation in central and eastern European countries? A wavelet-based Markov switching approach. Baltic Journal of Economics 19(1):84–104. https://doi.org/10.1080/1406099x.2018.1562011 Živkov D, Pećanac M, Ercegovac D (in press) Interdependence between stocks and exchange rate in East Asia – a wavelet-based approach. Singap Econ Rev. https://doi.org/10.1142/S0217590819500450