Oil price risk evaluation using a novel hybrid model based on time-varying long memory

2019 ◽  
Vol 81 ◽  
pp. 70-78 ◽  
Author(s):  
Lu-Tao Zhao ◽  
Kun Liu ◽  
Xin-Lei Duan ◽  
Ming-Fang Li
Keyword(s):  
Hybrid Model ◽  
Long Memory ◽  
Risk Evaluation ◽  
Oil Price ◽  
Price Risk ◽  
Time Varying ◽  
Model Based ◽  
Oil Price Risk

COVID−19 and Oil Price Risk Exposure

2020 ◽  
Author(s):  
Md Akhtaruzzaman ◽  
Sabri Boubaker ◽  
Mardy Chiah ◽  
Angel Zhong
Keyword(s):  
Oil Price ◽  
Risk Exposure ◽  
Price Risk ◽  
Oil Price Risk

Oil price risk exposure and the cross-section of stock returns: The case of net exporting countries

2015 ◽  
Vol 49 ◽  
pp. 132-140 ◽  
Author(s):  
Rıza Demirer ◽  
Shrikant P. Jategaonkar ◽  
Ahmed A.A. Khalifa
Keyword(s):  
Stock Returns ◽  
Cross Section ◽  
Oil Price ◽  
Risk Exposure ◽  
Price Risk ◽  
The Cross ◽  
Oil Price Risk

Oil price risk exposure: A comparison of financial and non-financial subsectors

Energy ◽  
2016 ◽  
Vol 109 ◽  
pp. 712-723 ◽  
Author(s):  
Komeil Shaeri ◽  
Cahit Adaoglu ◽  
Salih T. Katircioglu
Keyword(s):  
Oil Price ◽  
Risk Exposure ◽  
Price Risk ◽  
Oil Price Risk

scholarly journals US stocks in the presence of oil price risk: Large cap vs. Small cap

2018 ◽  
Vol 6 (4) ◽  
pp. 116 ◽  
Author(s):  
Afees Adebare Salisu ◽  
Raymond Swaray ◽  
Tirimisiyu Oloko
Keyword(s):  
Oil Prices ◽  
Oil Price ◽  
Price Risk ◽  
Volatility Spillovers ◽  
Oil Price Risk

This study queries the act of making generalization about the dynamics of returns and volatility spillovers between oil price and U.S. stocks by merely considering only large cap stocks. It argues that this kind of generalization may be misleading, as the reactions of large cap, mid cap and small cap stocks to change in oil prices are not expected to be uniform. Our findings show that it is correct to make generalization about oil-U.S. stock relationship with large cap stocks when analysing returns spillovers, but the generalization is incorrect when considering stock caps returns volatility spillovers, particularly under falling and relatively stable oil prices.

scholarly journals Hedging oil price risk with gold during COVID-19 pandemic

2020 ◽  
pp. 101897
Author(s):  
Afees A. Salisu ◽  
Xuan Vinh Vo ◽  
Adedoyin Lawal
Keyword(s):  
Oil Price ◽  
Price Risk ◽  
Oil Price Risk
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