Is gold a long-run hedge, diversifier, or safe haven for oil? Empirical evidence based on DCC-MIDAS
We aim at facilitating risk management in the oil market by identifying the long-run gold-oil
dynamic correlation using the DCC-MIDAS approach. We regard economic uncertainty and …
dynamic correlation using the DCC-MIDAS approach. We regard economic uncertainty and …
Extreme dependence between structural oil shocks and stock markets in GCC countries
This paper investigates how extreme oil price shocks affect the stock market returns of major
oil-exporter countries (Gulf Cooperation Council [GCC] countries) at different time horizons …
oil-exporter countries (Gulf Cooperation Council [GCC] countries) at different time horizons …
Exploring the dynamic connections between oil price shocks and bond yields in developed nations: A TVP-SVAR-SV approach
This paper investigates the impact of oil price changes on bond yields across nine
developed nations, focusing on how demand, supply, and oil-specific demand shocks …
developed nations, focusing on how demand, supply, and oil-specific demand shocks …
Did real economic uncertainty drive risk connectedness in the oil–stock nexus during the COVID-19 outbreak? A partial wavelet coherence analysis
This study explores the impact of real economic policy (business condition risk) on the oil–
stock nexus risk connectedness during the COVID-19 pandemic. It uses multivariate wavelet …
stock nexus risk connectedness during the COVID-19 pandemic. It uses multivariate wavelet …
OPEC meetings, oil market volatility and herding behaviour in the Saudi Arabia stock market
We investigate the influence of oil market volatility and hand‐picked OPEC meetings data on
herding tendency in the Saudi equity market. Our results show the presence of significant …
herding tendency in the Saudi equity market. Our results show the presence of significant …
An information‐based index of uncertainty and the predictability of energy prices
We develop an index of uncertainty, the COVID‐19 induced uncertainty (CIU) index, and
employ it to empirically examine the vulnerability of energy prices amidst the COVID‐19 …
employ it to empirically examine the vulnerability of energy prices amidst the COVID‐19 …
Tail risk connectedness among GCC banks episodes from the Global Financial Crisis to COVID-19 pandemic
This paper aims to analyze the impact of the COVID-19 pandemic on market-based systemic
risk and the connectedness of commercial banks in Gulf Cooperation Council countries. The …
risk and the connectedness of commercial banks in Gulf Cooperation Council countries. The …
Oil price changes and industrial output in the MENA region: Nonlinearities and asymmetries
In this paper, we investigate the nature of asymmetry in the influence of oil price changes on
output in six MENA countries. To get more observations for our analysis, we proxy GDP with …
output in six MENA countries. To get more observations for our analysis, we proxy GDP with …
Connectedness Between Crude Oil And Us Equities: The Impact Of The Covid-19 Pandemic
This paper contributes to the literature by employing a multifractal cross-correlation analysis
(MFCCA) to study the effect of the global COVID-19 pandemic on cross-correlations …
(MFCCA) to study the effect of the global COVID-19 pandemic on cross-correlations …
Energy profile and oil shocks: a dynamic analysis of their impact on stock markets
The paper investigates the intricate relationship between oil and stock markets in the context
of different oil price shocks and a country's energy profile. Focusing on five major oil …
of different oil price shocks and a country's energy profile. Focusing on five major oil …