Journal ArticleDOI
Asymmetric impact of gold, oil prices and their volatilities on stock prices of emerging markets
TLDR
In this article, the authors examined the asymmetric impact of gold prices, oil prices and their associated volatilities on stock markets of emerging economies and found that the stock markets in the emerging economies are more vulnerable to bad news and events that result in uncertain economic conditions.About:
This article is published in Resources Policy.The article was published on 2016-09-01. It has received 227 citations till now. The article focuses on the topics: Stock market bubble & Stock market.read more
Citations
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Journal ArticleDOI
Modeling systemic risk and dependence structure between oil and stock markets using a variational mode decomposition-based copula method
TL;DR: In this article, the authors combine the variational mode decomposition (VMD) method and static and time-varying symmetric and asymmetric copula functions to examine the dependence structure between crude oil prices and major regional developed stock markets (S&P500, stoxx600, DJPI and TSX indexes) during bear, normal and bull markets under different investment horizons.
Journal ArticleDOI
Return and volatility linkages among International crude oil price, gold price, exchange rate and stock markets: Evidence from Mexico
TL;DR: In this article, the authors investigated the dynamic relationship among international oil prices, international gold prices, exchange rate and stock market index in Mexico and found that international gold price positively affect the stock price of Mexico while oil price affects them negatively.
Journal ArticleDOI
Dynamic network of implied volatility transmission among US equities, strategic commodities, and BRICS equities
TL;DR: In this paper, the authors apply a graph theory approach that incorporates a dynamic conditional correlation model to disclose the dynamics of information integration and investigate the impact of political, war, macroeconomic and financial events on the changes in information flow among implied volatility indices.
Journal ArticleDOI
Asymmetric impact of oil prices, exchange rate, and inflation on tourism demand in Pakistan: new evidence from nonlinear ARDL
Muhammad Saeed Meo,Mohammad Ashraful Ferdous Chowdhury,Ghulam Mustafa Shaikh,Mubbshar Ali,Salman Masood Sheikh +4 more
TL;DR: Shin et al. as mentioned in this paper scrutinized the asymmetric impact of oil prices, exchange rate, and inflation on tourism demand in Pakistan using asymme-measure models, and found that tourism demand was negatively affected.
Journal ArticleDOI
Does oil prices impede Islamic stock indices? Fresh insights from wavelet-based quantile-on-quantile approach
TL;DR: In this paper, the authors used a novel approach of Wavelet-based Quantile-on-quantile Regression Model to examine the influence of different quantiles of the decomposed time series of WTI Brent Crude Oil Prices on quantile of Islamic stock index.
References
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Journal ArticleDOI
Distribution of the Estimators for Autoregressive Time Series with a Unit Root
David A. Dickey,Wayne A. Fuller +1 more
TL;DR: In this article, the limit distributions of the estimator of p and of the regression t test are derived under the assumption that p = ± 1, where p is a fixed constant and t is a sequence of independent normal random variables.
Journal ArticleDOI
Testing for a Unit Root in Time Series Regression
TL;DR: In this article, the authors proposed new tests for detecting the presence of a unit root in quite general time series models, which accommodate models with a fitted drift and a time trend so that they may be used to discriminate between unit root nonstationarity and stationarity about a deterministic trend.
Journal ArticleDOI
Bounds testing approaches to the analysis of level relationships
TL;DR: In this paper, the authors developed a new approach to the problem of testing the existence of a level relationship between a dependent variable and a set of regressors, when it is not known with certainty whether the underlying regressors are trend- or first-difference stationary.
Journal ArticleDOI
Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root?
TL;DR: In this paper, a test of the null hypothesis that an observable series is stationary around a deterministic trend is proposed, where the series is expressed as the sum of deterministic trends, random walks, and stationary error.
Book ChapterDOI
Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework
TL;DR: In this paper, a cointegrating nonlinear autoregressive distributed lag (NARDL) model is proposed, in which short and long-run nonlinearities are introduced via positive and negative partial sum decompositions of the explanatory variables.
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