연구동향 분석

국제원유와 브릭스 주식시장 사이 변동성 전이의 비대칭성과 장기기억

강상훈 ( Sang Hoon Kang ) 윤성민 ( Seong Min Yoon ) 2014년

논문상세정보
인용/피인용
' 국제원유와 브릭스 주식시장 사이 변동성 전이의 비대칭성과 장기기억' 의 주제별 논문영향력
논문영향력 선정 방법
논문영향력 요약
주제
  • 경제학
  • asymmetry
  • bricstockmarkets
  • crudeoilfutures
  • longmemory
  • volatility spillover
  • 변동성 전이
  • 브릭스주식시장
  • 비대칭성
  • 원유선물
  • 장기기억
동일주제 총논문수 논문피인용 총횟수 주제별 논문영향력의 평균
8,190 0

0.0%

' 국제원유와 브릭스 주식시장 사이 변동성 전이의 비대칭성과 장기기억' 의 참고문헌

  • What is an oil shock?
    Hamilton, J. D Journal of Econometrics 113 (2) : 363 ~ 398 [2003]
  • Volatility transmission between oil prices and equity sector returns
    Malik, F. International Review of Financial Analysis 18 (3) : 95 ~ 100 [2009]
  • Volatility spillovers between oil prices and stock sector returns: implications for portfolio management
    Arouri, M. E. H Journal of International Money and Finance 30 (7) : 1387 ~ 1405 [2011]
  • Volatility Transmission in the Oil and Natural Gas Markets
    Ewing, B.T. Energy Economics 24 (6) : 525 ~ 538 [2002]
  • Value-at-risk estimations of energy commodities via long-memory, asymmetry and fat-tailed GARCH models
    Aloui, C. Energy Policy 38 (5) : 2326 ~ 2339 [2010]
  • Trade and energy consumption in the Middle East
    Sadorsky, P. Energy Economics 33 (5) : 739 ~ 749 [2011]
  • Time Varying Distributions and Dynamic Hedging with Foreign Currency Futures
    Kroner, K. F. Journal of Financial and Quantitative Analysis 28 (4) : 535 ~ 551 [1993]
  • The relationship between crude oil spot and futures prices: cointegration, linear and nonlinear causality
    Bekiros, S. D Energy Economics 30 (5) : 2673 ~ 2685 [2008]
  • The message in daily exchange rate: a conditional-variance tale
    Baillie, R. T. Journal of Business and Economics Studies 7 (3) : 297 ~ 305 [1989]
  • The local whittle estimator of long memory stochastic volatility
  • The impact of oil price shocks on the large emerging countries’s stock prices: Evidence from China, India and Russia
    Fang, C._R International Review of Economics and Finance 29 : 330 ~ 338 [2014]
  • The estimation and application of long memory time series models
    Geweke, J. Journal of Time Series Analysis 4 (4) : 221 ~ 238 [1983]
  • The empirical relationship between energy futures prices and exchange rates
    Sadorsky, P. Energy Economics 22 (2) : 253 ~ 266 [2000]
  • The effects of crude oil shocks on stock market shifts behaviour: a regime switching approach
    Aloui, C. Energy Economics 31 (5) : 789 ~ 799 [2009]
  • The conditional heteroscedasticity of the yen-dollar exchange rate
    Tse, Y. K. Journal of Applied Econometrics 13 (1) : 49 ~ 55 [1998]
  • The asymmetric effects of oil shocks on output growth: a Markov-switching analysis for the G-7 countries
    Cologni, A. Economic Modelling 26 (1) : 1 ~ 29 [2009]
  • The Impact of Sudden Changes on Volatility Persistence and Information Transmission in Chinese Stock Markets
    강상훈 경제연구 31 (1) : 177 ~ 199 [2013]
  • Spillover effect of US dollar exchange rate on oil prices
    Zhang, Y. -J. Journal of Policy Modeling 30 (6) : 973 ~ 991 [2008]
  • Shock and Volatility Transmission in the Oil, US and Gulf Equity Markets
    Malik, F. International Review of Economics & Finance 16 (3) : 357 ~ 368 [2007]
  • Risk factors in stock returns of Canadian oil and gas companies
    Sadorsky, P. Energy Economics 23 (1) : 17 ~ 28 [2001]
  • Relationships between oil price shocks and stock market: an empirical analysis from China
    Cong, R.-G Energy Policy 36 (9) : 3544 ~ 3553 [2008]
  • Quasi-maximum likelihood estimation of dynamic models with time varying covariances
    Bollerslev, T. Econometric Reviews 11 (2) : 143 ~ 172 [1992]
  • On the impacts of oil price fluctuations on European equity markets: volatility spillover and hedging effectiveness
    Arouri, M. E. H Energy Economics 34 (2) : 611 ~ 617 [2012]
  • Oil shocks and aggregate macroeconomic behavior: the role of monetary policy: Comment
    Hamilton, J. D Journal of Money, Credit and Banking 36 (2) : 265 ~ 286 [2004]
  • Oil sensitivity and its asymmetric impact on the stock market
    Lee, Y.-H Energy 36 (1) : 168 ~ 174 [2011]
  • Oil prices, speculation and fundamentals: interpreting casual relations among spot and futures prices
    Kaufmann, R. K Energy Economics 31 (4) : 550 ~ 558 [2009]
  • Oil prices, economic activity and inflation : Evidence for some Asian countries
    Cunado, J. Quarterly Review of Economics and Finance 45 (1) : 65 ~ 83 [2005]
  • Oil prices and economic activity: an asymmetric cointegration approach
    Lardic, S. Energy Economics 30 (3) : 847 ~ 855 [2008]
  • Oil price volatility and stock price fluctuations in an emerging market: evidence from South Korea
    Masih, R. Energy Economics 33 (5) : 975 ~ 986 [2011]
  • Oil price shocks and stock markets in the U.S. and 13 European countries
    Park, J Energy Economics 30 (5) : 2587 ~ 2608 [2008]
  • Oil price shocks and stock market activity
    Sadorsky, P. Energy Economics 21 (5) : 449 ~ 469 [1999]
  • Oil and the stock markets
    Jones, C. M. Journal of Finance 51 (2) : 463 ~ 491 [1996]
  • Oil Prices, Inflation and Interest Rates in a Structural Cointegrated VAR Model for the G-7 Countries
    Cologni, A. Energy Economics 30 (3) : 856 ~ 888 [2008]
  • Multivariate garch models : A survey
    Bauwens, L. Journal of Applied Econometrics 21 : 79 ~ 109 [2006]
  • Monetary policy, oil price shocks, and the Japanese economy
    Lee, B. R. Japan and the World Economy 13 (3) : 321 ~ 349 [2001]
  • Modelling the persistence of conditional variances
    Engle, R. F. Econometric Reviews 5 (1) : 1 ~ 50 [1986]
  • Modelling the impact of oil prices on Vietnam's stock prices
    Narayan, P. K. Applied Energy 87 (1) : 356 ~ 361 [2010]
  • Modelling the coherence in short-run nominal exchange rates, A multivariate generalized ARCH model
    Bollerslev, T. Review of Economics and Statistics 72 (3) : 498 ~ 505 [1990]
  • Modeling asymmetric comovements of asset returns
    Kroner, K. F. Review of Financial Studies 11 (4) : 817 ~ 844 [1998]
  • Modeling and pricing long memory in stock market volatility
    Bollerslev, T. Journal of Econometrics 73 (1) : 151 ~ 184 [1996]
  • Long memory volatility in Chinese stock markets
    Kang, S. H. Physica A 389 (7) : 1425 ~ 1433 [2010]
  • Long memory property in return and volatility: evidence from the Indian stock markets
    Maheshchandra, J. P. Asian Journal of Finance & Accounting 4 (2) : 218 ~ 230 [2012]
  • Long Term Memory in Stock Market Prices
    Lo, A. W. Econometrica 59 (5) : 1279 ~ 1313 [1991]
  • Long Memory Volatility and Temporal Aggregation in the High Frequency Data of Australian Stock Market
    강상훈 경제연구 28 (3) : 219 ~ 251 [2010]
  • Latin American stock markets’ volatility spillovers during the financial crises: a multivariate FIAPARCH-DCC framework
    Aloui, C. Macroeconomics and Finance in Emerging Market Economies 4 (2) : 289 ~ 326 [2011]
  • Jump dynamics and volatility : oil and the stock markets
    Chiou, J. -S. Energy 34 (6) : 788 ~ 796 [2009]
  • Inequality constraints in the fractionally integrated GARCH model
    Conrad, C. Journal of Financial Econometrics 4 (3) : 413 ~ 449 [2006]
  • Impact of crude oil price volatility on economic activities: an empirical investigation in the Thai economy
    Rafiq, S. Resources Policy 34 (3) : 121 ~ 132 [2009]
  • Global oil prices, oil industry and equity returns: Russian experience
    Bhar, R. Scottish Journal of Political Economy 57 (2) : 169 ~ 186 [2010]
  • Generalized Autoregressive Conditional Heteroskedasticity
    Bollerslev, T. Journal of Econometrics 31 (3) : 307 ~ 327 [1986]
  • Gaussian semiparametric estimation of long range dependence
    Robinson, P. M. Annals of Statistics 23 (5) : 1630 ~ 1661 [1995]
  • Fractionally Integrated Generalized Autoregressive Conditional Heteroskedasticity
    Baillie, R. T. Journal of Econometrics 74 (1) : 3 ~ 30 [1996]
  • Exogenous oil supply shocks: how big are they and how much do they matter for the U.S. economy?
    Kilian, L. Review of Economics and Statistics 90 (2) : 216 ~ 240 [2008]
  • Evidence on the nature and extent of the relationship between oil prices and equity values in the UK
    El-Sharif, I. Energy Economics 27 (6) : 819 ~ 830 [2005]
  • Energy shocks and financial markets
    Huang, R. D. Journal of Futures Markets 16 (1) : 1 ~ 27 [1996]
  • Dynamic Conditional Correlation-A Simple Class of Multivariate GARCH Models
    Engle, R. F. Journal of Business and Economic Statistics 20 : 339 ~ 350 [2002]
  • Dual Long Memory Properties in Marine Freight Rates
    강상훈 경제연구 28 (4) : 209 ~ 230 [2010]
  • Do structural oil-market shocks affect stock prices?
    Apergis, N. Energy Economics 31 (4) : 569 ~ 575 [2009]
  • Cross-correlations between West Texas Intermediate crude oil and the stock markets of the BRIC
    Ma, F. Physica A 392 (21) : 5356 ~ 5368 [2013]
  • Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies
    Sadorsky, P. Energy Economics 34 (1) : 248 ~ 255 [2012]
  • Common and fundamental factors in stock returns of Canadian oil and gas companies
    Boyer, M. M. Energy Economics 29 (3) : 428 ~ 453 [2007]
  • Business cycles and the oil market
    Mork, K Energy Journal 15 : 15 ~ 38 [1994]
  • Bivariate FIGARCH and fractional cointegration
    Brunetti, C Journal of Empirical Finance 7 (5) : 509 ~ 530 [2000]
  • Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation
    Engle, R. F. Econometrica 50 (4) : 987 ~ 1007 [1982]
  • Asymmetric effects and long memory in dynamic volatility relationships between stock returns and exchange rates
    Chkili, W. Journal of International Financial Markets, Institutions and Money 22 (4) : 738 ~ 757 [2012]
  • Assessing the impacts of oil price fluctuations on stock returns in emerging markets
    Aloui, C. Economic Modelling 29 (6) : 2686 ~ 2695 [2012]
  • Are oil shocks inflationary? Asymmetric and nonlinear specification versus changes in regime
    Hooker, M. A. Journal of Money, Credit and Banking 34 (2) : 540 ~ 561 [2002]
  • A conditionally heteroskedastic time series model for speculative prices and rates of return
    Bollerslev, T. Review of Economic Statistics 69 (3) : 542 ~ 547 [1987]
  • A capital asset pricing model with time-varying coveriances
    Bollerslev, T. Journal of Political Economy 96 (1) : 116 ~ 131 [1988]