Oil Shocks and BRIC Markets: Evidence from Extreme Quantile Approach

2021 ◽  
Author(s):  
Muhammad Naeem ◽  
Linh Pham ◽  
Arunachalam Senthilkumar ◽  
Sitara Karim
Keyword(s):  
Oil Shocks ◽  
Extreme Quantile

Reversal of Fortune for Political Incumbents after Oil Shocks

2020 ◽  
Author(s):  
Rabah Arezki ◽  
Simeon Djankov ◽  
Ha Nguyen ◽  
Ivan Yotzov
Keyword(s):  
Oil Shocks ◽  
Reversal Of Fortune

Pandemics and Oil Shocks

2020 ◽  
Author(s):  
Mikidadu Mohammed ◽  
Jose Barrales-Ruiz
Keyword(s):  
Oil Shocks

Time-variant nonparametric extreme quantile estimation with application to US temperature data

2021 ◽  
Vol 55 (2) ◽  
pp. 87-108
Author(s):  
Mohammed Chowdhury ◽  
Bogdan Gadidov ◽  
Linh Le ◽  
Yan Wang ◽  
Lewis VanBrackle
Keyword(s):  
Temperature Data ◽  
Quantile Estimation ◽  
Extreme Quantile

Can agricultural and precious metal commodities diversify and hedge extreme downside and upside oil market risk? An extreme quantile approach

2019 ◽  
Vol 62 ◽  
pp. 588-601 ◽  
Author(s):  
Jose Areola Hernandez ◽  
Syed Jawad Hussain Shahzad ◽  
Gazi Salah Uddin ◽  
Sang Hoon Kang
Keyword(s):  
Precious Metal ◽  
Market Risk ◽  
Extreme Quantile ◽  
Oil Market

scholarly journals Extreme quantile estimation for dependent data, with applications to finance

Bernoulli ◽  
2003 ◽  
Vol 9 (4) ◽  
pp. 617-657 ◽  
Author(s):  
Holger Drees
Keyword(s):  
Quantile Estimation ◽  
Dependent Data ◽  
Extreme Quantile

scholarly journals WTI OIL SHOCKS IN EASTERN EUROPEAN STOCK MARKETS: A VAR APPROACH

2021 ◽  
Author(s):  
Rui Dias ◽  
◽  
Hortense Santos ◽  
Paula Heliodoro ◽  
Cristina Vasco ◽  
...  
Keyword(s):  
Stock Markets ◽  
Oil Prices ◽  
Oil Price ◽  
Portfolio Diversification ◽  
Oil Shocks ◽  
Eastern European ◽  
Safe Haven ◽  
Wald Tests ◽  
Stock Indices ◽  
European Stock Markets

The 2020 Russia-Saudi Oil Price War was an economic war triggered in March 2020 by Saudi Arabia in response to Russia’s refusal to reduce oil production to keep oil prices at a moderate level. In view of these events, this study aims to analyze oil shocks (WTI) in the eastern European stock markets, namely the stock indices of Hungary (BUX), Croatia (CROBE), Russia (MOEX), Czech Republic (PRAGUE), Slovakia (SAX 16), Slovenia (SBI TOP), Bulgaria (SOFIX), from September 2019 to January 2021. The results show mostly structural breakdowns in March 2020, while the VAR Granger Causality/Block Exogeneity Wald Tests model shows two-way shocks between oil (WTI) and the stock markets analyzed. These findings show that the hypothesis of portfolio diversification may be called into question. As a final discussion, we consider that investors should avoid investments in stock markets, at least as long as this pandemic last, and rebalance their portfolios into assets considered “safe haven” for the purpose of mitigating risk and improving the efficiency of their portfolios.

scholarly journals Dealing with Negative Oil Shocks: The Venezuelan Experience in the Eighties

1995 ◽  
Author(s):  
Ricardo Hausmann
Keyword(s):  
Oil Shocks
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