Volatility spillovers between oil prices and the stock market under structural breaks
Tài liệu tham khảo
Aggarwal, 1999, Volatility in emerging markets, Journal of Financial and Quantitative Analysis, 34, 33, 10.2307/2676245
Andreou, 2002, Detecting multiple breaks in financial market volatility dynamics, Journal of Applied Econometrics, 17, 579, 10.1002/jae.684
Arouri, 2011, Volatility spillovers between oil prices and stock sector returns: Implications for portfolio management, Journal of International Money and Finance, 30, 1387, 10.1016/j.jimonfin.2011.07.008
Arouri, 2012, Forecasting the conditional volatility of oil spot and futures prices with structural breaks and long memory models, Energy Economics, 34, 283, 10.1016/j.eneco.2011.10.015
Basher, 2006, Oil price risk and emerging stock markets, Global Finance Journal, 17, 224, 10.1016/j.gfj.2006.04.001
Bollerslev, 1992, Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances, Econometric Reviews, 11, 143, 10.1080/07474939208800229
Driesprong, 2008, Striking oil: Another puzzle?, Journal of Financial Economics, 89, 307, 10.1016/j.jfineco.2007.07.008
Engle, 2001, GARCH 101: The use of ARCH/GARCH models in applied econometrics, Journal of Economic Perspectives, 15, 157, 10.1257/jep.15.4.157
Engle, 1995, Multivariate simultaneous generalized ARCH, Econometric Reviews, 11, 122
Ewing, 2005, Re-examining the asymmetric predictability of conditional variances: The role of sudden changes in variance, Journal of Banking and Finance, 29, 2655, 10.1016/j.jbankfin.2004.10.002
Ewing, 2010, Estimating volatility persistence in oil prices under structural breaks, Financial Review, 45, 1011, 10.1111/j.1540-6288.2010.00283.x
Fleming, 1998, Information and volatility linkages in the stock, bond, and money markets, Journal of Financial Economics, 49, 111, 10.1016/S0304-405X(98)00019-1
Haigh, 2002, Crack spread hedging: Accounting for time-varying volatility spillovers in the energy futures markets, Journal of Applied Econometrics, 17, 269, 10.1002/jae.628
Hamilton, 2003, What is an oil shock?, Journal of Econometrics, 113, 363, 10.1016/S0304-4076(02)00207-5
Hillebrand, 2005, Neglecting parameter changes in GARCH models, Journal of Econometrics, 129, 121, 10.1016/j.jeconom.2004.09.005
Inclan, 1994, Use of cumulative sums of squares for retrospective detection of changes of variance, Journal of the American Statistical Association, 89, 913
Jones, 1996, Oil and the stock markets, Journal of Finance, 51, 463, 10.1111/j.1540-6261.1996.tb02691.x
Kroner, 1998, Modeling asymmetric comovements of asset returns, Review of Financial Studies, 11, 817, 10.1093/rfs/11.4.817
Kroner, 1993, Time varying distributions and dynamic hedging with foreign currency futures, Journal of Financial and Quantitative Analysis, 28, 535, 10.2307/2331164
Lamoureux, 1990, Persistence in variance, structural change and the GARCH model, Journal of Business and Economic Statistics, 8, 225
Lee, 2001, The CUSUM of squares test for scaled changes in infinite order moving average processes, Scandinavian Journal of Statistics, 28, 625, 10.1111/1467-9469.00259
Malik, 2009, Volatility transmission between oil prices and equity sector returns, International Review of Financial Analysis, 18, 95, 10.1016/j.irfa.2009.03.003
Malik, 2007, Shock and volatility transmission in the oil, US and gulf equity markets, International Review of Economics and Finance, 16, 357, 10.1016/j.iref.2005.05.005
Mensi, 2014, How do OPEC news and structural breaks impact returns and volatility in crude Oil markets? Further evidence from a long memory process, Energy Economics, 42, 343, 10.1016/j.eneco.2013.11.005
Mikosch, 2004, Nonstationarities in financial time series, the long-range dependence, and the IGARCH effects, Review of Economics and Statistics, 86, 378, 10.1162/003465304323023886
Perron, 2010, Long-memory and level shifts in the volatility of stock market return indices, Journal of Business and Economic Statistics, 28, 275, 10.1198/jbes.2009.06171
Rapach, 2008, Structural breaks and GARCH models of exchange rate volatility, Journal of Applied Econometrics, 23, 65, 10.1002/jae.976
Ross, 1989, Information and volatility: The no-arbitrage martingale approach to timing and resolution irrelevancy, Journal of Finance, 44, 1, 10.1111/j.1540-6261.1989.tb02401.x
Sadorsky, 1999, Oil price shocks and stock market activity, Energy Economics, 21, 449, 10.1016/S0140-9883(99)00020-1
Sadorsky, 2003, The macroeconomic determinants of technology stock price volatility, Review of Financial Economics, 12, 191, 10.1016/S1058-3300(02)00071-X
Sanso, 2004, Testing for change in the unconditional variance of financial time series, Revista de Economia Financiera, 4, 32
Starica, 2005, Nonstationarities in stock returns, Review of Economics and Statistics, 87, 503, 10.1162/0034653054638274
