The relationship between oil prices and stock prices: a nonlinear asymmetric cointegration approach
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References listed on IDEAS
- Kilian, Lutz & Vigfusson, Robert J., 2009.
"Pitfalls in Estimating Asymmetric Effects of Energy Price Shocks,"
CEPR Discussion Papers
7284, C.E.P.R. Discussion Papers.
- Lutz Kilian & Robert J. Vigfusson, 2009. "Pitfalls in estimating asymmetric effects of energy price shocks," International Finance Discussion Papers 970, Board of Governors of the Federal Reserve System (U.S.), revised 2009.
- Lutz Kilian, 2009. "Pitfalls in Estimating Asymmetric Effects of Energy Price Shocks," 2009 Meeting Papers 473, Society for Economic Dynamics.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Salisu, Afees A. & Raheem, Ibrahim D. & Ndako, Umar B., 2019. "A sectoral analysis of asymmetric nexus between oil price and stock returns," International Review of Economics & Finance, Elsevier, vol. 61(C), pages 241-259.
- Phong Nguyen & Wei-han Liu, 2017. "Time-Varying Linkage of Possible Safe Haven Assets: A Cross-Market and Cross-asset Analysis," International Review of Finance, International Review of Finance Ltd., vol. 17(1), pages 43-76, March.
- Yami, Mesay & Meyer, Ferdi & Hassan, Rashid, 2016. "Modelling price formation and dynamics in the Ethiopian maize market," 2016 Fifth International Conference, September 23-26, 2016, Addis Ababa, Ethiopia 249346, African Association of Agricultural Economists (AAAE).
- Salah A. Nusair & Jamal A. Al-Khasawneh, 2018. "Oil price shocks and stock market returns of the GCC countries: empirical evidence from quantile regression analysis," Economic Change and Restructuring, Springer, vol. 51(4), pages 339-372, November.
- Pal, Debdatta & Mitra, Subrata K., 2019. "Oil price and automobile stock return co-movement: A wavelet coherence analysis," Economic Modelling, Elsevier, vol. 76(C), pages 172-181.
- Swaray, Raymond & Salisu, Afees A., 2018. "A firm-level analysis of the upstream-downstream dichotomy in the oil-stock nexus," Global Finance Journal, Elsevier, vol. 37(C), pages 199-218.
- Afees A. Salisu & Ibrahim D. Raheem & Umar B. Ndako, 2017. "A sectoral analysis of asymmetric nexus between oil and stock," Working Papers 033, Centre for Econometric and Allied Research, University of Ibadan.
- Salisu, Afees A. & Isah, Kazeem O., 2017. "Revisiting the oil price and stock market nexus: A nonlinear Panel ARDL approach," Economic Modelling, Elsevier, vol. 66(C), pages 258-271.
- Bahmani-Oskooee, Mohsen & Ghodsi, Seyed Hesam & Hadzic, Muris, 2019. "Asymmetric causality between oil price and stock returns:A sectoral analysis," Economic Analysis and Policy, Elsevier, vol. 63(C), pages 165-174.
- Bing Xu, 2015. "Oil prices and UK industry-level stock returns," Applied Economics, Taylor & Francis Journals, vol. 47(25), pages 2608-2627, May.
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