create a website

Volatility transmission between oil prices and banks stock prices as a new source of instability: Lessons from the United States experience. (2020). Ehouman, Yao Axel.
In: Economic Modelling.
RePEc:eee:ecmode:v:91:y:2020:i:c:p:198-217.

Full description at Econpapers || Download paper

Cited: 11

Citations received by this document

Cites: 48

References cited by this document

Cocites: 27

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Oil Price Fluctuations, US Banks, and Macroprudential Policy. (2024). Lorusso, Marco ; Gelain, Paolo.
    In: Working Papers.
    RePEc:fip:fedcwq:95098.

    Full description at Econpapers || Download paper

  2. On the different impact of local and national sources of policy uncertainty on sectoral stock volatility. (2024). Bales, Stephan ; Sabani, Nazmie ; Burghof, Hans-Peter.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:72:y:2024:i:pb:s0275531924003325.

    Full description at Econpapers || Download paper

  3. Bank equity returns and oil prices: The story from U.S. regional banks during the “shale oil” revolution. (2024). Killins, Robert N ; Egly, Peter V ; Johnk, David W ; Mollick, Andre V.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:70:y:2024:i:pa:s0275531924001272.

    Full description at Econpapers || Download paper

  4. Frequency connectedness and cross-quantile dependence among medicare, medicine prices and health-tech equity. (2023). Sohag, Kazi ; Gainetdinova, Anna ; Riad, S M ; Nappo, Fabio.
    In: Technovation.
    RePEc:eee:techno:v:120:y:2023:i:c:s016649722200030x.

    Full description at Econpapers || Download paper

  5. Persistence and long run co-movements across stock market prices. (2023). Gil-Alana, Luis ; Martin-Valmayor, Miguel Angel ; Infante, Juan.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:89:y:2023:i:c:p:347-357.

    Full description at Econpapers || Download paper

  6. The banking instability and climate change: Evidence from China. (2022). Zhang, Xingmin ; Lu, Liping.
    In: Energy Economics.
    RePEc:eee:eneeco:v:106:y:2022:i:c:s0140988321006253.

    Full description at Econpapers || Download paper

  7. Oil shocks and the U.S. economy in a data-rich model. (2022). Giedeman, Daniel ; Compton, Ryan.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:108:y:2022:i:c:s0264999322000013.

    Full description at Econpapers || Download paper

  8. Oil price volatility in the context of Covid-19. (2021). JAWADI, Fredj ; Rozin, Philippe ; Bourghelle, David.
    In: Post-Print.
    RePEc:hal:journl:hal-04412020.

    Full description at Econpapers || Download paper

  9. Stock market volatility on shipping stock prices: GARCH models approach. (2021). Mhd, Siti Marsila ; Mokhtar, Kasypi.
    In: The Journal of Economic Asymmetries.
    RePEc:eee:joecas:v:24:y:2021:i:c:s1703494921000372.

    Full description at Econpapers || Download paper

  10. Oil price volatility in the context of Covid-19. (2021). JAWADI, Fredj ; Rozin, Philippe ; Bourghelle, David.
    In: International Economics.
    RePEc:eee:inteco:v:167:y:2021:i:c:p:39-49.

    Full description at Econpapers || Download paper

  11. Volatility Transmission between Oil Prices and Stock Prices as a New Source of Instability: Lessons from the UK Experience. (2020). Robertson, John ; Of, Dundee University.
    In: Asian Journal of Economics and Empirical Research.
    RePEc:aoj:ajeaer:2020:p:217-223.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Aguilera, R.F. Production costs of global conventional and unconventional petroleum. 2014 Energy Pol.. 64 134-140

  2. Andersen, T.G. ; Bollerslev, T. Answering the skeptics: yes, standard volatility models do provide accurate forecasts. 1998 Int. Econ. Rev.. 885-905

  3. Asai, M. ; McAleer, M. ; Yu, J. Multivariate stochastic volatility: a review. 2006 Econom. Rev.. 25 145-175

  4. Azar, A. Reserve Base Lending and the Outlook for Shale Oil and Gas Finance. 2017 Columbia Center on Global Energy Policy WP:
    Paper not yet in RePEc: Add citation now
  5. Baillie, R.T. Long memory processes and fractional integration in econometrics. 1996 J. Econom.. 73 5-59

  6. Barndorff-Nielsen, O.E. ; Hansen, P.R. ; Lunde, A. ; Shephard, N. Designing realized kernels to measure the ex post variation of equity prices in the presence of noise. 2008 Econometrica. 76 1481-1536

  7. Barndorff-Nielsen, O.E. ; Hansen, P.R. ; Lunde, A. ; Shephard, N. Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading. 2011 J. Econom.. 162 149-169

  8. Barndorff-Nielsen, O.E. ; Shephard, N. Econometric analysis of realized covariation: high frequency based covariance, regression, and correlation in financial economics. 2004 Econometrica. 72 885-925

  9. Barndorff-Nielsen, O.E. ; Shephard, N. Power and bipower variation with stochastic volatility and jumps. 2004 J. Financ. Econom.. 2 1-37

  10. Baumeister, C. ; Kilian, L. Lower oil prices and the US economy: is this time different?. 2016 Brookings Pap. Econ. Activ.. 2016 287-357

  11. Bauwens, L. ; Laurent, S. ; Rombouts, J. Multivariate GARCH models: a survey. 2006 J. Appl. Econom.. 21 79-109

  12. Bidder, R.M. ; Krainer, J.R. ; Shapiro, A.H. De-leveraging or de-risking? How Banks Cope with Loss. 2019 Federal Reserve Bank of: San Francisco
    Paper not yet in RePEc: Add citation now
  13. Bjørnland, H.C. ; Zhulanova, J. The Shale Oil Boom and the US Economy: Spillovers and Time-Varying Effects. 2019 :

  14. Bollerslev, T. Generalized autoregressive conditional heteroskedasticity. 1986 J. Econom.. 31 307-327

  15. Broadstock, D.C. ; Filis, G. Oil price shocks and stock market returns: new evidence from the United States and China. 2014 J. Int. Financ. Mark. Inst. Money. 33 417-433

  16. Bubák, V. ; Kočenda, E. ; Žikeš, F. Volatility transmission in emerging European foreign exchange markets. 2011 J. Bank. Finance. 35 2829-2841

  17. Chiriac, R. ; Voev, V. Modelling and forecasting multivariate realized volatility. 2011 J. Appl. Econom.. 26 922-947

  18. Christensen, K. ; Kinnebrock, S. ; Podolskij, M. Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data. 2010 J. Econom.. 159 116-133

  19. Chung, C.-F. Calculating and analyzing impulse responses for the vector ARFIMA model. 2001 Econ. Lett.. 71 17-25

  20. Corsi, F. A simple approximate long-memory model of realized volatility. 2009 J. Financ. Econom.. 7 174-196

  21. Corsi, F. ; Mittnik, S. ; Pigorsch, C. ; Pigorsch, U. The volatility of realized volatility. 2008 Econom. Rev.. 27 46-78

  22. Diaz, E.M. ; de Gracia, F.P. Oil price shocks and stock returns of oil and gas corporations. 2017 Finance Res. Lett.. 20 75-80

  23. Engle, R.F. Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. 1982 Econometrica. 987-1007

  24. Ewing, B.T. ; Malik, F. Volatility spillovers between oil prices and the stock market under structural breaks. 2016 Global Finance J.. 29 12-23

  25. Griffin, J.E. ; Oomen, R.C. Covariance measurement in the presence of non-synchronous trading and market microstructure noise. 2011 J. Econom.. 160 58-68

  26. Hammoudeh, S. ; Aleisa, E. Dynamic relationships among GCC stock markets and NYMEX oil futures. 2004 Contemp. Econ. Pol.. 22 250-269

  27. Hayashi, T. ; Yoshida, N. On covariance estimation of non-synchronously observed diffusion processes. 2005 Bernoulli. 11 359-379
    Paper not yet in RePEc: Add citation now
  28. Jacod, J. ; Li, Y. ; Mykland, P.A. ; Podolskij, M. ; Vetter, M. Microstructure noise in the continuous case: the pre-averaging approach. 2009 Stoch. Proc. Appl.. 119 2249-2276

  29. Jones, C.M. ; Kaul, G. Oil and the stock markets. 1996 J. Finance. 51 463-491

  30. Kilian, L. The impact of the shale oil revolution on US oil and gasoline prices. 2016 Rev. Environ. Econ. Pol.. 10 185-205

  31. Kleinberg, R.L. ; Paltsev, S. ; Ebinger, C. ; Hobbs, D. ; Boersma, T. Tight oil market dynamics: benchmarks, breakeven points, and inelasticities. 2018 Energy Econ.. 70 70-83

  32. Lv, X. ; Lien, D. ; Yu, C. Who affects who? Oil price against the stock return of oil-related companies: evidence from the US and China. 2020 Int. Rev. Econ. Finance. 67 85-100

  33. Malik, F. ; Ewing, B.T. Volatility transmission between oil prices and equity sector returns. 2009 Int. Rev. Financ. Anal.. 3 95-100

  34. McAleer, M. ; Medeiros, M.C. Realized volatility: a review. 2008 Econom. Rev.. 27 10-45

  35. Narayan, P.K. ; Sharma, S.S. Firm return volatility and economic gains: the role of oil prices. 2014 Econ. Modell.. 38 142-151

  36. Neff, S. ; Coleman, M. EIA outlook: reversal in US oil import dependency. 2014 Energy Strat. Rev.. 5 6-13
    Paper not yet in RePEc: Add citation now
  37. Nelson, D.B. Conditional heteroskedasticity in asset returns: a new approach. 1991 Econometrica. 347-370

  38. Pal, D. ; Mitra, S.K. Oil price and automobile stock return co-movement: a wavelet coherence analysis. 2019 Econ. Modell.. 76 172-181

  39. Sadorsky, P. Oil price shocks and stock market activity. 1999 Energy Econ.. 21 449-469

  40. Sehgal, N. ; Pandey, K.K. Aftermath of 2008 financial crisis on oil prices. 2015 En : . IEEE:
    Paper not yet in RePEc: Add citation now
  41. Sela, R.J. ; Hurvich, C.M. Computationally efficient methods for two multivariate fractionally integrated models. 2009 J. Time Ser. Anal.. 30 631-651

  42. Souček, M. ; Todorova, N. Realized volatility transmission between crude oil and equity futures markets: a multivariate HAR approach. 2013 Energy Econ.. 40 586-597

  43. Taylor, S.J. Modeling stochastic volatility: a review and comparative study. 1994 Math. Finance. 4 183-204

  44. Todorova, N. ; Worthington, A. ; Souček, M. Realized volatility spillovers in the non-ferrous metal futures market. 2014 Res. Pol.. 39 21-31

  45. Tsay, W.-J. Maximum likelihood estimation of stationary multivariate ARFIMA processes. 2010 J. Stat. Comput. Simulat.. 80 729-745
    Paper not yet in RePEc: Add citation now
  46. Vivian, A. ; Wohar, M.E. Commodity volatility breaks. 2012 J. Int. Financ. Mark. Inst. Money. 22 395-422

  47. Voev, V. ; Lunde, A. Integrated covariance estimation using high-frequency data in the presence of noise. 2007 J. Financ. Econom.. 5 68-104

  48. Zhang, L. Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach. 2006 Bernoulli. 12 1019-1043
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. Strategies toward an effective and sustainable energy transition for Cuba. (2024). Guevara-Luna, Marco Andres ; Madrazo, Jessie ; Mora, Henry ; Meneses, Elieza ; Clappier, Alain.
    In: Renewable and Sustainable Energy Reviews.
    RePEc:eee:rensus:v:197:y:2024:i:c:s1364032124001102.

    Full description at Econpapers || Download paper

  2. Reserves, well drilling and production: Assessing the optimal trajectory of oil extraction for Brazil. (2024). Faria, Weslem Rodrigues ; Ouro, Joana Duarte.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:88:y:2024:i:c:s0301420723010528.

    Full description at Econpapers || Download paper

  3. Comparative analysis of oil-driven economic policies for Saudi Arabia and Iran; using the CGE model. (2022). Farahnak, Fardin.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:78:y:2022:i:c:s0301420722002409.

    Full description at Econpapers || Download paper

  4. Deriving EROI for Thirty Large Oil Companies Using the CO2 Proxy from 1999 to 2018. (2021). Celi, Luciano.
    In: Biophysical Economics and Resource Quality.
    RePEc:spr:bioerq:v:6:y:2021:i:4:d:10.1007_s41247-021-00095-6.

    Full description at Econpapers || Download paper

  5. Booming gas – A theory of endogenous technological change in resource extraction. (2021). Quaas, Martin ; Meier, Felix D.
    In: Journal of Environmental Economics and Management.
    RePEc:eee:jeeman:v:107:y:2021:i:c:s0095069621000309.

    Full description at Econpapers || Download paper

  6. Quantitative evaluation of transport efficiency of fault-reservoir composite migration pathway systems in carbonate petroliferous basins. (2021). Zhang, Wang ; Wang, Qifeng ; Chen, Dongxia ; Li, Changrong ; Luo, Bing ; Yang, Xuan ; Pang, Xiongqi.
    In: Energy.
    RePEc:eee:energy:v:222:y:2021:i:c:s0360544221002322.

    Full description at Econpapers || Download paper

  7. Impact of Production Sharing Contract Price Sliding Royalty: The case of Nigeria s Deepwater Operation. (2021). ADELEYE, Ngozi ; Obomanu, Tamunotonjo ; Okoye, Lawrence U ; Okafor, Ikechukwu S ; Okoro, Emmanuel E.
    In: International Journal of Energy Economics and Policy.
    RePEc:eco:journ2:2021-03-32.

    Full description at Econpapers || Download paper

  8. The Resource-Limited Plateau in Global Conventional Oil Production: Analysis and Consequences. (2020). Wang, Jessie ; Bentley, R W ; Mushalik, M.
    In: Biophysical Economics and Resource Quality.
    RePEc:spr:bioerq:v:5:y:2020:i:2:d:10.1007_s41247-020-00076-1.

    Full description at Econpapers || Download paper

  9. Volatility transmission between oil prices and banks’ stock prices as a new source of instability: Lessons from the United States experience. (2020). Ehouman, Yao Axel.
    In: Post-Print.
    RePEc:hal:journl:hal-02960571.

    Full description at Econpapers || Download paper

  10. The fiscal regime for UK shale gas: Analysing the impacts of pad allowance on shale gas investments. (2020). Ike, Onyekachi ; Acquah-Andoh, Elijah ; Ifelebuegu, Augustine O ; Owusu, Andrews.
    In: Energy Policy.
    RePEc:eee:enepol:v:146:y:2020:i:c:s0301421520304675.

    Full description at Econpapers || Download paper

  11. Effects of oil price fall on the betas in the Unconventional Oil & Gas Industry. (2020). Dallocchio, Maurizio ; Teti, Emanuele ; de Sanctis, Daniele.
    In: Energy Policy.
    RePEc:eee:enepol:v:144:y:2020:i:c:s030142152030402x.

    Full description at Econpapers || Download paper

  12. Volatility transmission between oil prices and banks stock prices as a new source of instability: Lessons from the United States experience. (2020). Ehouman, Yao Axel.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:91:y:2020:i:c:p:198-217.

    Full description at Econpapers || Download paper

  13. Anticipating global energy, climate and policy in 2055: Constructing qualitative and quantitative narratives. (2019). Holz, Franziska ; Ansari, Dawud.
    In: EconStor Open Access Articles and Book Chapters.
    RePEc:zbw:espost:203116.

    Full description at Econpapers || Download paper

  14. Reconciling Diverging Views on Mineral Depletion: A Modified Cumulative Availability Curve Applied to Copper Resources. (2019). Eggert, Roderick ; Castillo, Emilio.
    In: Working Papers.
    RePEc:mns:wpaper:wp201902.

    Full description at Econpapers || Download paper

  15. Coalbed methane development in Indonesia: Design and economic analysis of upstream petroleum fiscal policy. (2019). Putra, Herdi A ; Acquah-Andoh, Elijah ; Ifelebuegu, Augustine O ; Owusu, Andrews.
    In: Energy Policy.
    RePEc:eee:enepol:v:131:y:2019:i:c:p:155-167.

    Full description at Econpapers || Download paper

  16. The Producer Surplus Associated with Gasolne Fuel Use in the United States. (2019). Lin Lawell, C.-Y. Cynthia ; Sun, Yongling ; Delucchi, Mark A ; Lawell, C.-Y. Cynthia L., ; Ogden, Joan M.
    In: Institute of Transportation Studies, Research Reports, Working Papers, Proceedings.
    RePEc:cdl:itsrrp:qt0591r5x3.

    Full description at Econpapers || Download paper

  17. Global carbon budgets and the viability of new fossil fuel projects. (2018). Jaccard, Torsten ; Hoffele, James.
    In: Climatic Change.
    RePEc:spr:climat:v:150:y:2018:i:1:d:10.1007_s10584-018-2206-2.

    Full description at Econpapers || Download paper

  18. The U.S. Shale Oil Revolution and the Behavior of Commodity Prices. (2018). Salisu, Afees ; Adediran, Idris.
    In: Econometric Research in Finance.
    RePEc:sgh:erfinj:v:3:y:2018:i:1:p:27-53.

    Full description at Econpapers || Download paper

  19. OPEC, Saudi Arabia, and the shale revolution: Insights from equilibrium modelling and oil politics. (2017). Ansari, Dawud.
    In: EconStor Open Access Articles and Book Chapters.
    RePEc:zbw:espost:204469.

    Full description at Econpapers || Download paper

  20. OPEC, Saudi Arabia, and the Shale Revolution: Insights from Equilibrium Modelling and Oil Politics. (2017). Ansari, Dawud.
    In: MPRA Paper.
    RePEc:pra:mprapa:78657.

    Full description at Econpapers || Download paper

  21. Why do climate change scenarios return to coal?. (2017). Ritchie, Justin ; Dowlatabadi, Hadi.
    In: Energy.
    RePEc:eee:energy:v:140:y:2017:i:p1:p:1276-1291.

    Full description at Econpapers || Download paper

  22. OPEC, Saudi Arabia, and the shale revolution: Insights from equilibrium modelling and oil politics. (2017). Ansari, Dawud.
    In: Energy Policy.
    RePEc:eee:enepol:v:111:y:2017:i:c:p:166-178.

    Full description at Econpapers || Download paper

  23. Implications for the floor price of oil of aggressive climate policies. (2017). Danny, L D.
    In: Energy Policy.
    RePEc:eee:enepol:v:108:y:2017:i:c:p:143-153.

    Full description at Econpapers || Download paper

  24. Experience curve development and cost reduction disaggregation for fuel cell markets in Japan and the US. (2017). Smith, Sarah J ; Sohn, Michael D ; Wei, Max.
    In: Applied Energy.
    RePEc:eee:appene:v:191:y:2017:i:c:p:346-357.

    Full description at Econpapers || Download paper

  25. Techno-economic comparison of three energy conversion pathways from empty fruit bunches. (2016). Lim, Young-Il ; Do, Truong Xuan.
    In: Renewable Energy.
    RePEc:eee:renene:v:90:y:2016:i:c:p:307-318.

    Full description at Econpapers || Download paper

  26. Lifting the US crude oil export ban: A numerical partial equilibrium analysis. (2016). Huppmann, Daniel ; Holz, Franziska ; Langer, Lissy.
    In: Energy Policy.
    RePEc:eee:enepol:v:97:y:2016:i:c:p:258-266.

    Full description at Econpapers || Download paper

  27. Lifting the US Crude Oil Export Ban: A Numerical Partial-Equilibrium Analysis. (2016). Huppmann, Daniel ; Holz, Franziska ; Langer, Lissy.
    In: Discussion Papers of DIW Berlin.
    RePEc:diw:diwwpp:dp1548.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-10-05 00:23:52 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated August, 3 2024. Contact: Jose Manuel Barrueco.