Concepedia

Dependences and dynamic spillovers across the crude oil and stock markets throughout the COVID-19 pandemic and Russia-Ukraine conflict: Evidence from the ASEAN+6

Surachai Chancharat, Parichat Sinlapates

Finance research letters · 2023 · 28 citations · 44 references

DOI

Concepts

References

44

Testing for a unit root in time series regression

Peter C.B. Phillips, Pierre Perrón · Biometrika · 1988 · 17.7K citations

, , +13

Distribution of the Estimators for Autoregressive Time Series With a Unit Root

David A. Dickey, Wayne A. Fuller · Journal of the American Statistical Association · 1979 · 9K citations

Dynamic Conditional Correlation

Robert F. Engle · Journal of Business and Economic Statistics · 2002 · 6.9K citations

, , +15

Multivariate Simultaneous Generalized ARCH

Robert F. Engle, Kenneth F. Kroner · Econometric Theory · 1995 · 4.5K citations

, , +16

Oil and the Macroeconomy since World War II

James D. Hamilton · Journal of Political Economy · 1983 · 3.7K citations

, , +19