Our understanding of the sources of oil price fluctuations and their effects on the US
economy has undergone important transformations in the last decades. First, several studies …

In this article, we examine the relationship between oil prices and US equities by proposing
a novel quantile-on-quantile (QQ) approach to construct estimates of the effect that the …

It is shown that the reaction of US real stock returns to an oil price shock differs greatly
depending on whether the change in the price of oil is driven by demand or supply shocks in …

In this article we take a recent generalized VAR-GARCH approach to examine the extent of
volatility transmission between oil and stock markets in Europe and the United States at the …

In this paper, we use a set of newly introduced implied volatility indexes to investigate the
directional connectedness between oil and equities in eleven major stock exchanges …

This paper investigates the relationship between EPU, oil and stock markets in the BRIC
countries under different market conditions. The multivariate quantile VAR approach is used …

Oil price shocks and economic policy uncertainty are interrelated and influence stock market
return. For the US an unanticipated increase in policy uncertainty has a significant negative …

Vector Auto regression model (VAR) a time-varying parameter is applied to study the effect
of oil price shocks on the returns of stocks in the LATAM (Latin American) markets. Coherent …

This study combines the variational mode decomposition (VMD) method and static and time-
varying symmetric and asymmetric copula functions to examine the dependence structure …

This study extends the existing literature by examining the impact of oil prices on the Dow
Jones (DJ) Islamic index and sectoral stock indices. In particular, enhanced empirical …