Acemoglu, D. ; Carvalho, V.M. ; Ozdaglar, A. ; Tahbaz‐Salehi, A. The network origins of aggregate fluctuations. 2012 Econometrica. 80 1977-2016
Acemoglu, D. ; Ozdaglar, A. ; Tahbaz-Salehi, A. Systemic risk and stability in financial networks. 2015 The American Economic Review. 105 564-608
Ahmed, A.D. ; Huo, R. Volatility transmissions across international oil market, commodity futures and stock markets: Empirical evidence from China. 2021 Energy Economics. 93 104741-
Aloui, C. ; Nguyen, D.K. ; Njeh, H. Assessing the impacts of oil price fluctuations on stock returns in emerging markets. 2012 Economic Modelling. 29 2686-2695
An, Y. ; Sun, M. ; Gao, C. ; Han, D. ; Li, X. Analysis of the impact of crude oil price fluctuations on China's stock market in different periods—based on time series network model. 2018 Physica A: Statistical Mechanics and Its Applications. 492 1016-1031
Apergis, N. ; Miller, S.M. Do structural oil-market shocks affect stock prices?. 2009 Energy Economics. 31 569-575
Arouri, M.E.H. ; Nguyen, D.K. Oil prices, stock markets and portfolio investment: Evidence from sector analysis in Europe over the last decade. 2010 Energy Policy. 38 4528-4539
Asgharian, H. ; Hess, W. ; Liu, L. A spatial analysis of international stock market linkages. 2013 Journal of Banking & Finance. 37 4738-4754
Atkeson, A. ; Kehoe, P.J. Models of energy use: Putty-putty versus putty-clay. 1999 The American Economic Review. 89 1028-1043
- Bagchi, B. Volatility spillovers between crude oil price and stock markets: Evidence from BRIC countries. 2017 International Journal of Emerging Markets. 12 352-365
Paper not yet in RePEc: Add citation now
Bakas, D. ; Triantafyllou, A. Volatility forecasting in commodity markets using macro uncertainty. 2019 Energy Economics. 81 79-94
Balli, F. ; Naeem, M.A. ; Shahzad, S.J.H. ; de Bruin, A. Spillover network of commodity uncertainties. 2019 Energy Economics. 81 914-927
Barsky, R.B. ; Kilian, L. Oil and the macroeconomy since the 1970s. 2004 The Journal of Economic Perspectives. 18 115-134
Basher, S.A. ; Sadorsky, P. Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH. 2016 Energy Economics. 54 235-247
Baumöhl, E. ; Kočenda, E. ; Lyócsa, Š. ; Výrost, T. Networks of volatility spillovers among stock markets. 2018 Physica A: Statistical Mechanics and Its Applications. 490 1555-1574
Bhar, R. ; Nikolova, B. Oil prices and equity returns in the BRIC countries. 2009 The World Economy. 32 1036-1054
Billio, M. ; Getmansky, M. ; Lo, A.W. ; Pelizzon, L. Econometric measures of connectedness and systemic risk in the finance and insurance sectors. 2012 Journal of Financial Economics. 104 535-559
Bisias, D. ; Flood, M. ; Lo, A.W. ; Valavanis, S. A survey of systemic risk analytics. 2012 Annual Review of Financial Economics. 4 255-296
Blasques, F. ; Koopman, S.J. ; Lucas, A. ; Schaumburg, J. Spillover dynamics for systemic risk measurement using spatial financial time series models. 2016 Journal of Econometrics. 195 211-223
Boldanov, R. ; Degiannakis, S. ; Filis, G. Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries. 2016 International Review of Financial Analysis. 48 209-220
Bonaccolto, G. ; Caporin, M. ; Panzica, R. Estimation and model-based combination of causality networks among large US banks and insurance companies. 2019 Journal of Empirical Finance. 54 1-21
Boubaker, H. ; Raza, S.A. A wavelet analysis of mean and volatility spillovers between oil and BRICS stock markets. 2017 Energy Economics. 64 105-117
Broadstock, D.C. ; Filis, G. Oil price shocks and stock market returns: New evidence from the United States and China. 2014 Journal of International Financial Markets, Institutions and Money. 33 417-433
Brunetti, C. ; Harris, J.H. ; Mankad, S. ; Michailidis, G. Interconnectedness in the interbank market. 2019 Journal of Financial Economics. 133 520-538
Caporale, G.M. ; Ali, F.M. ; Spagnolo, N. Oil price uncertainty and sectoral stock returns in China: A time-varying approach. 2015 China Economic Review. 34 311-321
Chen, N. ; Jin, X. ; Zhuang, X. ; Yuan, Y. Spatial pricing with multiple risk transmission channels and specific factors. 2020 Physica A: Statistical Mechanics and Its Applications. 549 123897-
Chen, S.S. Do higher oil prices push the stock market into bear territory?. 2010 Energy Economics. 32 490-495
Cheong, C.W. Modeling and forecasting crude oil markets using ARCH-type models. 2009 Energy Policy. 37 2346-2355
Cong, R.G. ; Wei, Y.M. ; Jiao, J.L. ; Fan, Y. Relationships between oil price shocks and stock market: An empirical analysis from China. 2008 Energy Policy. 36 3544-3553
Cont, R. Empirical properties of asset returns: Stylized facts and statistical issues. 2001 Quantitative Finance. 1 223-236
Debarsy, N. ; Dossougoin, C. ; Ertur, C. ; Gnabo, J.Y. Measuring sovereign risk spillovers and assessing the role of transmission channels: A spatial econometrics approach. 2018 Journal of Economic Dynamics and Control. 87 21-45
Deev, O. ; Lyócsa, Š. Connectedness of financial institutions in Europe: A network approach across quantiles. 2020 Physica A: Statistical Mechanics and Its Applications. 550 124035-
Degiannakis, S. ; Filis, G. Forecasting oil price realized volatility using information channels from other asset classes. 2017 Journal of International Money and Finance. 76 28-49
Dhawan, R. ; Jeske, K. Energy price shocks and the macroeconomy: The role of consumer durables. 2008 Journal of Money, Credit, and Banking. 40 1357-1377
Dutta, A. ; Nikkinen, J. ; Rothovius, T. Impact of oil price uncertainty on Middle East and African stock markets. 2017 Energy. 123 189-197
Edelstein, P. ; Kilian, L. How sensitive are consumer expenditures to retail energy prices?. 2009 Journal of Monetary Economics. 56 766-779
Elhorst, J.P. Specification and estimation of spatial panel data models. 2003 International Regional Science Review. 26 244-268
Fang, C.R. ; You, S.Y. The impact of oil price shocks on the large emerging countries' stock prices: Evidence from China, India and Russia. 2014 International Review of Economics & Finance. 29 330-338
Fattouh, B. ; Mahadeva, L. OPEC: What difference has it made?. 2013 Annual Review of Resource Economics. 5 427-443
Feng, S. ; Huang, S. ; Qi, Y. ; Liu, X. ; Sun, Q. ; Wen, S. Network features of sector indexes spillover effects in China: A multi-scale view. 2018 Physica A: Statistical Mechanics and Its Applications. 496 461-473
Fernandez, V. Spatial linkages in international financial markets. 2011 Quantitative Finance. 11 237-245
Finn, M.G. Perfect competition and the effects of energy price increases on economic activity. 2000 Journal of Money, Credit, and Banking. 32 400-416
- Geng, J.B. ; Chen, F.R. ; Ji, Q. ; Liu, B.Y. Network connectedness between natural gas markets, uncertainty and stock markets. 2020 Energy Economics. 105001-
Paper not yet in RePEc: Add citation now
Geng, J.B. ; Du, Y.J. ; Ji, Q. ; Zhang, D. Modeling return and volatility spillover networks of global new energy companies. 2021 Renewable and Sustainable Energy Reviews. 135 110214-
Gkillas, K. ; Gupta, R. ; Pierdzioch, C. Forecasting realized oil-price volatility: The role of financial stress and asymmetric loss. 2020 Journal of International Money and Finance. 104 102137-
Gong, X. ; Lin, B. Forecasting the good and bad uncertainties of crude oil prices using a HAR framework. 2017 Energy Economics. 67 315-327
Gong, X. ; Lin, B. The incremental information content of investor fear gauge for volatility forecasting in the crude oil futures market. 2018 Energy Economics. 74 370-386
Gupta, R. ; Modise, M.P. Does the source of oil price shocks matter for South African stock returns? A structural VAR approach. 2013 Energy Economics. 40 825-831
Han, H. ; Linton, O. ; Oka, T. ; Whang, Y.J. The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series. 2016 Journal of Econometrics. 193 251-270
Han, L. ; Lv, Q. ; Yin, L. The effect of oil returns on the stock markets network. 2019 Physica A: Statistical Mechanics and Its Applications. 533 122044-
Herrera, A.M. ; Hu, L. ; Pastor, D. Forecasting crude oil price volatility. 2018 International Journal of Forecasting. 34 622-635
Herskovic, B. ; Kelly, B. ; Lustig, H. ; Van Nieuwerburgh, S. Firm volatility in Granular networks. 2020 Journal of Political Economy. 128 4097-4162
Hu, M. ; Zhang, D. ; Ji, Q. ; Wei, L. Macro factors and the realized volatility of commodities: A dynamic network analysis. 2020 Resources Policy. 68 101813-
- Ji, Q. ; Liu, B.Y. ; Zhao, W.L. ; Fan, Y. Modelling dynamic dependence and risk spillover between all oil price shocks and stock market returns in the BRICS. 2018 International Review of Financial Analysis. 68 101238-
Paper not yet in RePEc: Add citation now
Ji, Q. ; Zhang, D. ; Zhao, Y. Searching for safe-haven assets during the COVID-19 pandemic. 2020 International Review of Financial Analysis. 71 101526-
- Jiang, S. ; Jin, X. Effects of investor sentiment on stock return volatility: A spatio-temporal dynamic panel model. 2020 Economic Modelling. -
Paper not yet in RePEc: Add citation now
Jones, C.M. ; Kaul, G. Oil and the stock markets. 1996 The Journal of Finance. 51 463-491
Jones, D.W. ; Leiby, P.N. ; Paik, I.K. Oil price shocks and the macroeconomy: What has been learned since 1996. 2004 Energy Journal. 25 1-32
Joo, Y.C. ; Park, S.Y. Oil prices and stock markets: Does the effect of uncertainty change over time?. 2017 Energy Economics. 61 42-51
Kilian, L. Not all oil price shocks are alike: Disentangling demand and supply shocks in the crude oil market. 2009 The American Economic Review. 99 1053-1069
Kilian, L. Oil price shocks: Causes and consequences. 2014 Annual Review of Resource Economics. 6 133-154
Kilian, L. ; Park, C. The impact of oil price shocks on the US stock market. 2009 International Economic Review. 50 1267-1287
Kilian, L. ; Zhou, X. Modeling fluctuations in the global demand for commodities. 2018 Journal of International Money and Finance. 88 54-78
Kim, I.M. ; Loungani, P. The role of energy in real business cycle models. 1992 Journal of Monetary Economics. 29 173-189
- Kling, J.L. Oil price shocks and stock market behavior. 1985 Journal of Portfolio Management. 12 34-39
Paper not yet in RePEc: Add citation now
Koenker, R.W. ; Bassett, G. Regression quantiles. 1978 Econometrica. 46 33-50
Kou, S. ; Peng, X. ; Zhong, H. Asset pricing with spatial interaction. 2018 Management Science. 64 2083-2101
- LeSage, J. ; Pace, R. Introduction to spatial econometrics. 2009 CRC Press: London and New York
Paper not yet in RePEc: Add citation now
Liu, T. ; Gong, X. Analyzing time-varying volatility spillovers between the crude oil markets using a new method. 2020 Energy Economics. 87 104711-
Luo, J. ; Ji, Q. ; Klein, T. ; Todorova, N. ; Zhang, D. On realized volatility of crude oil futures markets: Forecasting with exogenous predictors under structural breaks. 2020 Energy Economics. 89 104781-
Luo, X. ; Qin, S. Oil price uncertainty and Chinese stock returns: New evidence from the oil volatility index. 2017 Finance Research Letters. 20 29-34
Lyócsa, Š. ; Výrost, T. ; Baumöhl, E. Return spillovers around the globe: A network approach. 2019 Economic Modelling. 77 133-146
Ma, F. ; Zhang, Y. ; Huang, D. ; Lai, X. Forecasting oil futures price volatility: New evidence from realized range-based volatility. 2018 Energy Economics. 75 400-409
Ma, Y.R. ; Ji, Q. ; Pan, J. Oil financialization and volatility forecast: Evidence from multidimensional predictors. 2019 Journal of Forecasting. 38 564-581
Ma, Y.R. ; Ji, Q. ; Wu, F. ; Pan, J. Financialization, idiosyncratic information and commodity co-movements. 2021 Energy Economics. 94 105083-
Maghyereh, A.I. ; Awartani, B. ; Bouri, E. The directional volatility connectedness between crude oil and equity markets: New evidence from implied volatility indexes. 2016 Energy Economics. 57 78-93
Marchese, M. ; Kyriakou, I. ; Tamvakis, M. ; Di Iorio, F. Forecasting crude oil and refined products volatilities and correlations: New evidence from fractionally integrated multivariate GARCH models. 2020 Energy Economics. 88 104757-
Meng, F. ; Liu, L. Analyzing the economic sources of oil price volatility: An out-of-sample perspective. 2019 Energy. 177 476-486
Milcheva, S. ; Zhu, B. Asset pricing, spatial linkages and contagion in real estate stocks. 2018 Journal of Property Research. 35 271-295
Miller, J.I. ; Ratti, R.A. Crude oil and stock markets: Stability, instability, and bubbles. 2009 Energy Economics. 31 559-568
Mishra, S. ; Sharif, A. ; Khuntia, S. ; Meo, M.S. ; Khan, S.A.R. Does oil prices impede islamic stock indices? Fresh insights from wavelet-based quantile-on-quantile approach. 2019 Resources Policy. 62 292-304
Ozdagli, A. ; Weber, M. Monetary policy through production networks: Evidence from the stock market. 2017 National Bureau of Economic Research Working Paper Series:
Patton, A. ; Politis, D.N. ; White, H. Correction to “Automatic block-length selection for the dependent bootstrap” by D. Politis and H. White. 2009 Econometric Reviews. 28 372-375
- Phillips, P.C. ; Perron, P. Testing for a unit root in time series regression. 1988 Biometrika. 75 335-346
Paper not yet in RePEc: Add citation now
- Politis, D.N. ; Romano, J.P. The stationary bootstrap. 1994 Journal of the American Statistical Association. 89 1303-1313
Paper not yet in RePEc: Add citation now
Politis, D.N. ; White, H. Automatic block-length selection for the dependent bootstrap. 2004 Econometric Reviews. 23 53-70
Reboredo, J.C. ; Ugolini, A. Quantile dependence of oil price movements and stock returns. 2016 Energy Economics. 54 33-49
Sadorsky, P. Modeling and forecasting petroleum futures volatility. 2006 Energy Economics. 28 467-488
Sadorsky, P. Oil price shocks and stock market activity. 1999 Energy Economics. 21 449-469
Shahzad, S.J.H. ; Hernandez, J.A. ; Rehman, M.U. ; Al-Yahyaee, K.H. ; Zakaria, M. A global network topology of stock markets: Transmitters and receivers of spillover effects. 2018 Physica A: Statistical Mechanics and Its Applications. 492 2136-2153
Shin, Y. ; Schmidt, P. The KPSS stationarity test as a unit root test. 1992 Economics Letters. 38 387-392
Silva, T.C. ; da Silva Alexandre, M. ; Tabak, B.M. Bank lending and systemic risk: A financial-real sector network approach with feedback. 2018 Journal of Financial Stability. 38 98-118
Sim, N. ; Zhou, H. Oil prices, US stock return, and the dependence between their quantiles. 2015 Journal of Banking & Finance. 55 1-8
Singhal, S. ; Ghosh, S. Returns and volatility linkages between international crude oil price, metal and other stock indices in India: Evidence from VAR-DCC-GARCH models. 2016 Resources Policy. 50 276-288
Smyth, R. ; Narayan, P.K. What do we know about oil prices and stock returns?. 2018 International Review of Financial Analysis. 57 148-156
Tiwari, A.K. ; Trabelsi, N. ; Alqahtani, F. ; Hammoudeh, S. Analysing systemic risk and time-frequency quantile dependence between crude oil prices and brics equity markets indices: A new look. 2019 Energy Economics. 83 445-466
Wang, G.J. ; Xie, C. ; He, K. ; Stanley, H.E. Extreme risk spillover network: Application to financial institutions. 2017 Quantitative Finance. 17 1417-1433
Wang, Y. ; Liu, L. Crude oil and world stock markets: Volatility spillovers, dynamic correlations, and hedging. 2016 Empirical Economics. 50 1481-1509
Wang, Y. ; Wu, C. Forecasting energy market volatility using GARCH models: Can multivariate models beat univariate models?. 2012 Energy Economics. 34 2167-2181
- Wasserman, S. ; Faust, K. . 1994 Cambridge university press:
Paper not yet in RePEc: Add citation now
Wei, Y. ; Guo, X. Oil price shocks and China's stock market. 2017 Energy. 140 185-197
Wei, Y. ; Liu, J. ; Lai, X. ; Hu, Y. Which determinant is the most informative in forecasting crude oil market volatility: Fundamental, speculation, or uncertainty?. 2017 Energy Economics. 68 141-150
Wen, F. ; Gong, X. ; Cai, S. Forecasting the volatility of crude oil futures using HAR-type models with structural breaks. 2016 Energy Economics. 59 400-413
- Xia, T. ; Ji, Q. ; Zhang, D. ; Han, J. Asymmetric and extreme influence of energy price changes on renewable energy stock performance. 2019 Journal of Cleaner Production. 241 118338-
Paper not yet in RePEc: Add citation now
Xiao, J. ; Hu, C. ; Ouyang, G. ; Wen, F. Impacts of oil implied volatility shocks on stock implied volatility in China: Empirical evidence from a quantile regression approach. 2019 Energy Economics. 80 297-309
Yang, C. ; Gong, X. ; Zhang, H. Volatility forecasting of crude oil futures: The role of investor sentiment and leverage effect. 2019 Resources Policy. 61 548-563
Zhang, C. ; Chen, X. The impact of global oil price shocks on China's stock returns: Evidence from the ARJI (-ht)-EGARCH model. 2011 Energy. 36 6627-6633
Zhang, Y.J. ; Yao, T. ; He, L.Y. ; Ripple, R. Volatility forecasting of crude oil market: Can the regime switching GARCH model beat the single-regime GARCH models?. 2019 International Review of Economics & Finance. 59 302-317
Zhou, Z. ; Jiang, Y. ; Liu, Y. ; Lin, L. ; Liu, Q. Does international oil volatility have directional predictability for stock returns? Evidence from BRICS countries based on cross-quantilogram analysis. 2019 Economic Modelling. 80 352-382
Zhu, H. ; Guo, Y. ; You, W. ; Xu, Y. The heterogeneity dependence between crude oil price changes and industry stock market returns in China: Evidence from a quantile regression approach. 2016 Energy Economics. 55 30-41
Zhu, H.M. ; Li, R. ; Li, S. Modelling dynamic dependence between crude oil prices and Asia-Pacific stock market returns. 2014 International Review of Economics & Finance. 29 208-223