Volatility spillovers between oil prices and stock sector returns: Implications for portfolio management

Author:

El Hedi Arouri Mohamed,Jouini Jamel,Nguyen Duc Khuong

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference44 articles.

1. Volatility in crude oil futures: a comparison of the predictive ability of GARCH and implied volatility models;Agnolucci;Energy Economics,2009

2. Does Oil Price Uncertainty Transmit to Stock Markets?;Agren,2006

3. Oil prices and the rise and fall of the US real exchange rate;Amano;Journal of International Money and Finance,1998

4. Do structural oil-market shocks affect stock prices?;Apergis;Energy Economics,2009

5. Time-varying predictability in crude oil markets: the case of GCC countries;Arouri;Energy Policy,2010

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