Oil price shocks and stock return volatility: new evidence based on volatility impulse response analysis

DOI10.1016/J.ECONLET.2018.08.022zbMath1406.91409OpenAlexW2888490030WikidataQ129352901 ScholiaQ129352901MaRDI QIDQ1629631

Sercan Eraslan, Faek Menla Ali

Publication date: 12 December 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: http://sro.sussex.ac.uk/id/eprint/78172/1/__smbhome.uscs.susx.ac.uk_fm330_Desktop_Accepted%20Papers_Manuscript-Economics%20Letters.pdf

zbMATH Keywords

stock returnsoil price shocksvolatility impulse response analysis

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Cites Work

• Explaining the time-varying effects of oil market shocks on US stock returns
• Oil Prices and the Stock Market*

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