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Original Articles

An empirical research of crude oil price changes and stock market in China: evidence from the structural breaks and quantile regression

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Liwen Zhang, Zhoufan Zhu, Xingdong Feng & Yong He. (2021) Shrinkage quantile regression for panel data with multiple structural breaks. Canadian Journal of Statistics 50:3, pages 820-851.
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Jilong Chen, Christian Ewald, Ruolan Ouyang, Sjur Westgaard & Xiaoxia Xiao. (2021) Pricing commodity futures and determining risk premia in a three factor model with stochastic volatility: the case of Brent crude oil. Annals of Operations Research 313:1, pages 29-46.
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Mohammad Enamul Hoque & Soo-Wah Low. (2022) Impact of Industry-Specific Risk Factors on Stock Returns of the Malaysian Oil and Gas Industry in a Structural Break Environment. Mathematics 10:2, pages 199.
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Qitong Chen, Huiming Zhu, Dongwei Yu & Liya Hau. (2022) How does investor attention matter for crude oil prices and returns? Evidence from time-frequency quantile causality analysis. The North American Journal of Economics and Finance 59, pages 101581.
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Bi-Bo Wu. (2021) The dynamics of oil on China’s commodity sectors: What can we learn from a quantile perspective?. Journal of Commodity Markets 23, pages 100158.
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Elisa Di Febo, Matteo Foglia & Eliana Angelini. (2021) Tail Risk and Extreme Events: Connections between Oil and Clean Energy. Risks 9:2, pages 39.
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Debi Prasad Bal & Devi Prasad Dash. (2020) Nonlinear Granger causality between oil price and stock returns in India. Journal of Public Affairs 21:1.
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Debojyoti Das & M. Kannadhasan. (2020) The asymmetric oil price and policy uncertainty shock exposure of emerging market sectoral equity returns: A quantile regression approach. International Review of Economics & Finance 69, pages 563-581.
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Sobia Quayyoum, Mushtaq Hussain Khan, Syed Zulfiqar Ali Shah, Biagio Simonetti & Michela Matarazzo. (2019) Seasonality in crude oil returns. Soft Computing 24:18, pages 13547-13556.
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Mohammad Enamul Hoque, Soo-Wah Low & Mohd Azlan Shah Zaidi. (2020) The Effects of Oil and Gas Risk Factors on Malaysian Oil and Gas Stock Returns: Do They Vary?. Energies 13:15, pages 3901.
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Manel Youssef & Khaled Mokni. (2020) Modeling the relationship between oil and USD exchange rates: Evidence from a regime-switching-quantile regression approach. Journal of Multinational Financial Management 55, pages 100625.
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Elif Akay Toparlı, Abdurrahman Nazif Çatık & Mehmet Balcılar. (2019) The impact of oil prices on the stock returns in Turkey: A TVP-VAR approach. Physica A: Statistical Mechanics and its Applications 535, pages 122392.
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Besma Hamdi, Mouna Aloui, Faisal Alqahtani & Aviral Tiwari. (2019) Relationship between the oil price volatility and sectoral stock markets in oil-exporting economies: Evidence from wavelet nonlinear denoised based quantile and Granger-causality analysis. Energy Economics 80, pages 536-552.
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Salah A. Nusair & Dennis Olson. (2019) The effects of oil price shocks on Asian exchange rates: Evidence from quantile regression analysis. Energy Economics 78, pages 44-63.
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Salah A. Nusair & Jamal A. Al-Khasawneh. (2017) Oil price shocks and stock market returns of the GCC countries: empirical evidence from quantile regression analysis. Economic Change and Restructuring 51:4, pages 339-372.
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Muhammad Ali Nasir, Sabih Abass Rizvi & Matteo Rossi. (2017) A Treatise on Oil Price Shocks and their Implications for the UK Financial Sector: Analysis Based on Time‐Varying Structural VAR Model. The Manchester School 86:5, pages 586-621.
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Can Zhong Yao, Peng Cheng Kuang & Ji Nan Lin. (2018) The optimal thermal causal path analysis on the relationship between international crude oil price and stock market. Kybernetes 47:6, pages 1242-1261.
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Sheng Fang & Paul Egan. (2018) Measuring contagion effects between crude oil and Chinese stock market sectors. The Quarterly Review of Economics and Finance 68, pages 31-38.
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Russell Smyth & Paresh Kumar Narayan. (2018) What do we know about oil prices and stock returns?. International Review of Financial Analysis 57, pages 148-156.
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Xiangyun Gao, Wei Fang, Feng An & Yue Wang. (2017) Detecting method for crude oil price fluctuation mechanism under different periodic time series. Applied Energy 192, pages 201-212.
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Peng Xu, Utsav Adhikari, Lei Guo, Deepa Sathaye, Jihua Wang, Dongliang Yi & Yizhi Zhu. (2016) Quantifying the Microeconomic and Macroeconomic Impact of the Recent Crude Oil Price Fluctuations. Open Journal of Statistics 06:04, pages 605-615.
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Muhammad Ali Nasir, Sabih Abbas Razvi & Matteo Rossi. (2017) A Treatise on Oil Price Shocks & Their Implications for the UK Financial Sector: Analysis Based on Time-Varying Structural VAR Model. SSRN Electronic Journal.
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