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Browsing Workspace (UPSpace) by Subject "Oil shocks"

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Disentangled oil shocks and stock market volatility in Nigeria and South Africa : a GARCH-MIDAS approach

Tumala, Mohammed M.; Salisu, Afees A.; Gambo, Ali I. (Elsevier, 2023-06)

In this study, we investigate the effects of disentangled oil shocks on the volatility of the stock markets of Nigeria and South Africa using the Mixed Data Sampling variant of the Generalized Autoregressive Conditional ...
Oil shocks and directional predictability of macroeconomic uncertainties of developed economies : evidence from high-frequency data

Shahzad, Syed Jawad Hussain; Gupta, Rangan; Demirer, Riza; Pierdzioch, Christian (Wiley, 2022-05)

Using high-frequency (daily) data on macroeconomic uncertainties and the partial cross-quantilogram approach, we examine the directional predictability of disentangled oil-price shocks for the entire conditional distribution ...

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