Explaining the time-varying effects of oil market shocks on US stock returns

DOI10.1016/J.ECONLET.2017.03.017zbMath1398.62296OpenAlexW2600690186MaRDI QIDQ1673446

Claudia Foroni, Pierre Guérin, Massimiliano Marcellino

Publication date: 12 September 2018

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

Full work available at URL: https://econpapers.repec.org/RePEc:igi:igierp:597

zbMATH Keywords

stock returnstime-varying parameter VARoil market shocks

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (2)

Oil price shocks and stock return volatility: new evidence based on volatility impulse response analysis ⋮ Spillover effect and Granger causality investigation between China's stock market and international oil market: a dynamic multiscale approach

Uses Software

• bvarsv

Cites Work

• Structural changes in the US economy: is there a role for monetary policy?
• Time Varying Structural Vector Autoregressions and Monetary Policy: A Corrigendum
• Structural Vector Autoregressive Analysis

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